-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
Originator-Key-Asymmetric:
 MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen
 TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB
MIC-Info: RSA-MD5,RSA,
 G/qRECa+mNkeu2L9eV5piS5ExVW6PBYMS5RtGHKxLro1Cjc7Mk95HX3k0jkzkC83
 bWM2hPJVJuEuAOmv1imxxA==

<SEC-DOCUMENT>0000928816-09-000193.txt : 20090227
<SEC-HEADER>0000928816-09-000193.hdr.sgml : 20090227
<ACCEPTANCE-DATETIME>20090227150033
ACCESSION NUMBER:		0000928816-09-000193
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20081231
FILED AS OF DATE:		20090227
DATE AS OF CHANGE:		20090227
EFFECTIVENESS DATE:		20090227

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM MASTER INTERMEDIATE INCOME TRUST
		CENTRAL INDEX KEY:			0000830622
		IRS NUMBER:				046584465
		FISCAL YEAR END:			0930

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		09642164

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		6172921562

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_mastinterm.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
<!DOCTYPE HTML PUBLIC "">


<HTML>
<HEAD>
   <TITLE>a_mastinterm.htm</TITLE>
   <META name="HandheldFriendly" content="true">
</HEAD>

<BODY bgcolor="#ffffff">































<!--$$/page=-->
<A name="page_1"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="6%"></TD>
     <TD width="10%"></TD>
     <TD width="58%"></TD></TR>
<TR>
     <TD colSpan=2></TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><FONT face=sans-serif size=2>UNITED STATES</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><FONT face=sans-serif size=2>SECURITIES AND EXCHANGE COMMISSION</FONT> </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><FONT face=sans-serif size=2>Washington, D.C. 20549</FONT> </TD></TR>
<TR>
     <TD align=center colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><B><FONT face=sans-serif size=2>FORM N-Q</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=center colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center colSpan=4><B><FONT face=sans-serif size=2>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD align=center colSpan=4><B><FONT face=sans-serif size=2>INVESTMENT COMPANY</FONT></B> </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Investment Company Act file number: (811- </FONT><FONT face=sans-serif size=2>05498</FONT><FONT face=sans-serif size=2>)</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Exact name of registrant as specified in charter:</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><FONT face=sans-serif size=2>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif size=2>Name and address of agent for service:</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Beth S. Mazor, Vice President</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One Post Office Square</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02109</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT face=sans-serif size=2>Copy to:</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>John W. Gerstmayr, Esq.</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Ropes &amp; Gray LLP</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>One International Place</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Boston, Massachusetts 02110</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=3>&nbsp;</TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><FONT face=sans-serif size=2>Registrant&#146;s telephone number, including area code:</FONT>&nbsp; </TD>
     <TD noWrap align=left><FONT face=sans-serif size=2>(617) 292-1000</FONT>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif size=2>Date of fiscal year end: </FONT><FONT face=sans-serif size=2>September 30, 2009</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left colSpan=2>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left width="31%" colSpan=2><FONT face=sans-serif size=2>Date of reporting period: December 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left width="10%">&nbsp; </TD>
     <TD noWrap align=left width="58%">&nbsp; </TD></TR></TABLE><BR>
<P align=left><U><FONT face=sans-serif size=2>Item </FONT></U><FONT face=sans-serif size=2><U>1. Schedule of Investments:</U></FONT></P>
<HR align=center width="100%" noShade SIZE=2>











































<!--$$/page=-->
<A name="page_1"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Putnam Master Intermediate Income Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4></TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>The fund's portfolio </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>12/31/08 (Unaudited) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=4></TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>COLLATERALIZED MORTGAGE OBLIGATIONS (39.4%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banc of America Alternative Loan Trust Ser. 06-7, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class A2, 5.707s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$3,981,000 </TD>
     <TD noWrap align=right>$1,871,070 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banc of America Commercial Mortgage, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-1, Class G, 7.324s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>325,000 </TD>
     <TD noWrap align=right>266,427 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-3, Class A3, 5.658s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>168,000 </TD>
     <TD noWrap align=right>109,679 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-2, Class A2, 5.634s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>513,000 </TD>
     <TD noWrap align=right>395,731 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 05-6, Class A2, 5.165s, 2047 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,131,000 </TD>
     <TD noWrap align=right>958,246 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-5, Class XW, Interest Only (IO), 0.44s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>112,857,502 </TD>
     <TD noWrap align=right>1,698,608 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banc of America Commercial Mortgage, Inc. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-1, Class J, 6 1/8s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>163,000 </TD>
     <TD noWrap align=right>41,565 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-1, Class K, 6 1/8s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>367,000 </TD>
     <TD noWrap align=right>126,749 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banc of America Funding Corp. FRB Ser. 06-D, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class 6A1, 5.99s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,853,464 </TD>
     <TD noWrap align=right>1,341,128 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banc of America Large Loan 144A FRB Ser. 05-MIB1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class K, 3.195s, 2022 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>645,000 </TD>
     <TD noWrap align=right>522,971 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bayview Commercial Asset Trust 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-1, Class S, IO, 2.477s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,839,108 </TD>
     <TD noWrap align=right>247,622 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-5A, IO, 1.55s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>988,117 </TD>
     <TD noWrap align=right>74,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bear Stearns Alternate Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,149,277 </TD>
     <TD noWrap align=right>752,247 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-6, Class 2A1, 5.892s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,038,172 </TD>
     <TD noWrap align=right>491,956 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bear Stearns Commercial Mortgage Securities, Inc. FRB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-WF2, Class F, 8.186s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>410,000 </TD>
     <TD noWrap align=right>298,716 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bear Stearns Commercial Mortgage Securities, Inc. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-PW18, Class X1, IO, 0.057s, 2050 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>62,584,313 </TD>
     <TD noWrap align=right>328,167 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Broadgate Financing PLC sec. FRB Ser. D, 7.078s, 2023 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(United Kingdom) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>368,125 </TD>
     <TD noWrap align=right>161,062 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Citigroup Mortgage Loan Trust, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-AR5, Class 2A5A, 6.198s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,397,701 </TD>
     <TD noWrap align=right>660,352 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-6, Class 2A5, IO, 6.179s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,723,475 </TD>
     <TD noWrap align=right>116,335 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-AR7, Class 2A2A, 5.649s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>239,973 </TD>
     <TD noWrap align=right>107,988 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-CD5, Class XS, IO, 0.077s, 2044 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>36,616,612 </TD>
     <TD noWrap align=right>125,331 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Commercial Mortgage Pass-Through Certificates 144A FRB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 05-F10A, Class A1, 1.295s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>253,745 </TD>
     <TD noWrap align=right>226,898 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Countrywide Alternative Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-2CB, Class 1A5, IO, 7.129s, 2034 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,739,428 </TD>
     <TD noWrap align=right>72,159 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-45T1, Class 2A2, 6s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>884,509 </TD>
     <TD noWrap align=right>392,899 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-J8, Class A4, 6s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,247,371 </TD>
     <TD noWrap align=right>953,335 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,671,942 </TD>
     <TD noWrap align=right>1,092,575 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Countrywide Home Loans </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-HYB7, Class 6A1, 5.707s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>45,205 </TD>
     <TD noWrap align=right>22,602 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 05-2, Class 2X, IO, 1.16s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,580,461 </TD>
     <TD noWrap align=right>35,280 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Countrywide Home Loans 144A IFB Ser. 05-R1, Class 1AS, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IO, 4.549s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,132,601 </TD>
     <TD noWrap align=right>197,667 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Credit Suisse Mortgage Capital Certificates </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-C4, Class A2, 5.81s, 2039 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>814,000 </TD>
     <TD noWrap align=right>584,694 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-C5, Class A3, 5.694s, 2040 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>8,400,000 </TD>
     <TD noWrap align=right>5,426,687 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CRESI Finance Limited Partnership 144A FRB Ser. 06-A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class C, 1.071s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>251,000 </TD>
     <TD noWrap align=right>164,380 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CS First Boston Mortgage Securities Corp. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 98-C1, Class F, 6s, 2040 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>966,000 </TD>
     <TD noWrap align=right>193,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-CP5, Class M, 5 1/4s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>354,000 </TD>
     <TD noWrap align=right>28,320 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-TFLA, Class L, 3.045s, 2020 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>699,000 </TD>
     <TD noWrap align=right>314,550 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class X, IO, 0.617s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,851,532 </TD>
     <TD noWrap align=right>55,994 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.04s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>286,492 </TD>
     <TD noWrap align=right>143,246 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class B5, 5.95s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>915,958 </TD>
     <TD noWrap align=right>366,383 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>European Loan Conduit 144A FRB Ser. 22A, Class D, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.788s, 2014 (Ireland) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>507,000 </TD>
     <TD noWrap align=right>221,823 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>European Prime Real Estate PLC 144A FRB Ser. 1-A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class D, 6.788s, 2014 (United Kingdom) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>270,924 </TD>
     <TD noWrap align=right>79,023 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Fannie Mae </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-70, Class SM, 50.819s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$206,332 </TD>
     <TD noWrap align=right>280,628 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-1, Class NR, 43.919s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>911,177 </TD>
     <TD noWrap align=right>1,031,088 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-62, Class PS, 37.073s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>634,901 </TD>
     <TD noWrap align=right>830,537 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-70, Class SJ, 36.773s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>105,340 </TD>
     <TD noWrap align=right>131,527 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W7, Class 1A4, 36.353s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>564,388 </TD>
     <TD noWrap align=right>649,046 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-104, Class GS, 32.167s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>320,083 </TD>
     <TD noWrap align=right>391,135 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-60, Class TK, 26.715s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>469,630 </TD>
     <TD noWrap align=right>559,346 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-115, Class NQ, 23.17s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>252,550 </TD>
     <TD noWrap align=right>279,705 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-74, Class CP, 23.022s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>441,697 </TD>
     <TD noWrap align=right>472,236 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-8, Class WK, 22.839s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,208,841 </TD>
     <TD noWrap align=right>1,368,009 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-99, Class SA, 22.839s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>516,244 </TD>
     <TD noWrap align=right>589,141 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-60, Class CS, 22.362s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>804,678 </TD>
     <TD noWrap align=right>889,249 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-95, Class OP, 18.9s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>325,941 </TD>
     <TD noWrap align=right>319,912 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-74, Class CS, 18.724s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>503,574 </TD>
     <TD noWrap align=right>554,711 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-95, Class CP, 18.456s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>75,682 </TD>
     <TD noWrap align=right>75,574 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-114, Class SP, 18.284s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>316,191 </TD>
     <TD noWrap align=right>331,184 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-83, Class QP, 16.169s, 2034 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>180,995 </TD>
     <TD noWrap align=right>188,696 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 90, IO, 8s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>73,440 </TD>
     <TD noWrap align=right>8,245 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 27, IO, 7 1/2s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>75,108 </TD>
     <TD noWrap align=right>7,653 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 28, IO, 7 1/2s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>77,521 </TD>
     <TD noWrap align=right>7,690 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W6, Class 6A2, IO, 7.329s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>928,320 </TD>
     <TD noWrap align=right>81,228 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-90, Class SE, IO, 7.329s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,201,596 </TD>
     <TD noWrap align=right>212,031 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_2"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-51, Class XP, IO, 7.229s, 2034 </TD>
     <TD noWrap align=right>2,084,787 </TD>
     <TD noWrap align=right>154,486 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 03-66, Class SA, IO, 7.179s, 2033 </TD>
     <TD noWrap align=right>870,738 </TD>
     <TD noWrap align=right>71,212 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-7, Class SA, IO, 7.079s, 2038 </TD>
     <TD noWrap align=right>4,407,292 </TD>
     <TD noWrap align=right>451,531 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 86, IO, 7s, 2037 </TD>
     <TD noWrap align=right>79,190 </TD>
     <TD noWrap align=right>10,265 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W6, Class 5A2, IO, 6.819s, 2037 </TD>
     <TD noWrap align=right>1,428,849 </TD>
     <TD noWrap align=right>111,593 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W2, Class 3A2, IO, 6.809s, 2037 </TD>
     <TD noWrap align=right>1,292,081 </TD>
     <TD noWrap align=right>100,912 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-115, Class BI, IO, 6.789s, 2036 </TD>
     <TD noWrap align=right>1,139,920 </TD>
     <TD noWrap align=right>97,404 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-113, Class AI, IO, 6.759s, 2036 </TD>
     <TD noWrap align=right>694,013 </TD>
     <TD noWrap align=right>62,695 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-113, Class DI, IO, 6.759s, 2036 </TD>
     <TD noWrap align=right>4,563,491 </TD>
     <TD noWrap align=right>367,133 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-36, Class YI, IO, 6.729s, 2036 </TD>
     <TD noWrap align=right>1,632,788 </TD>
     <TD noWrap align=right>136,343 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-60, Class SI, IO, 6.679s, 2036 </TD>
     <TD noWrap align=right>1,379,539 </TD>
     <TD noWrap align=right>118,089 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-60, Class UI, IO, 6.679s, 2036 </TD>
     <TD noWrap align=right>559,033 </TD>
     <TD noWrap align=right>49,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-24, Class CS, IO, 6.679s, 2034 </TD>
     <TD noWrap align=right>347,763 </TD>
     <TD noWrap align=right>33,013 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W7, Class 3A2, IO, 6.659s, 2037 </TD>
     <TD noWrap align=right>1,604,722 </TD>
     <TD noWrap align=right>177,723 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-60, Class DI, IO, 6.599s, 2035 </TD>
     <TD noWrap align=right>1,639,374 </TD>
     <TD noWrap align=right>128,035 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 03-130, Class BS, IO, 6.579s, 2033 </TD>
     <TD noWrap align=right>2,215,533 </TD>
     <TD noWrap align=right>171,571 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 03-34, Class WS, IO, 6.529s, 2029 </TD>
     <TD noWrap align=right>2,113,685 </TD>
     <TD noWrap align=right>152,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-10, Class LI, IO, 6.509s, 2038 </TD>
     <TD noWrap align=right>2,128,548 </TD>
     <TD noWrap align=right>176,882 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 14, IO, 6 1/2s, 2038 </TD>
     <TD noWrap align=right>1,207,426 </TD>
     <TD noWrap align=right>102,631 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 60, IO, 6 1/2s, 2037 </TD>
     <TD noWrap align=right>696,547 </TD>
     <TD noWrap align=right>66,172 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 68, IO, 6 1/2s, 2037 </TD>
     <TD noWrap align=right>87,605 </TD>
     <TD noWrap align=right>9,061 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 72, IO, 6 1/2s, 2037 </TD>
     <TD noWrap align=right>779,100 </TD>
     <TD noWrap align=right>66,223 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 70, IO, 6 1/2s, 2037 </TD>
     <TD noWrap align=right>408,102 </TD>
     <TD noWrap align=right>34,689 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 101, IO, 6 1/2s, 2022 </TD>
     <TD noWrap align=right>69,273 </TD>
     <TD noWrap align=right>6,301 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-39, Class LI, IO, 6.299s, 2037 </TD>
     <TD noWrap align=right>1,157,610 </TD>
     <TD noWrap align=right>111,327 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-23, Class SI, IO, 6.299s, 2037 </TD>
     <TD noWrap align=right>345,832 </TD>
     <TD noWrap align=right>26,165 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class CI, IO, 6.289s, 2037 </TD>
     <TD noWrap align=right>1,062,800 </TD>
     <TD noWrap align=right>83,540 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-39, Class PI, IO, 6.289s, 2037 </TD>
     <TD noWrap align=right>865,209 </TD>
     <TD noWrap align=right>64,170 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-30, Class WI, IO, 6.289s, 2037 </TD>
     <TD noWrap align=right>6,978,490 </TD>
     <TD noWrap align=right>523,526 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-28, Class SE, IO, 6.279s, 2037 </TD>
     <TD noWrap align=right>216,393 </TD>
     <TD noWrap align=right>16,840 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-22, Class S, IO, 6.279s, 2037 </TD>
     <TD noWrap align=right>15,413,920 </TD>
     <TD noWrap align=right>1,242,362 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-128, Class SH, IO, 6.279s, 2037 </TD>
     <TD noWrap align=right>950,308 </TD>
     <TD noWrap align=right>73,092 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-56, Class SM, IO, 6.279s, 2036 </TD>
     <TD noWrap align=right>1,210,849 </TD>
     <TD noWrap align=right>94,588 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-90, Class SP, IO, 6.279s, 2035 </TD>
     <TD noWrap align=right>601,154 </TD>
     <TD noWrap align=right>50,094 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-12, Class SC, IO, 6.279s, 2035 </TD>
     <TD noWrap align=right>759,016 </TD>
     <TD noWrap align=right>75,142 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W5, Class 2A2, IO, 6.269s, 2037 </TD>
     <TD noWrap align=right>522,347 </TD>
     <TD noWrap align=right>43,094 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-30, Class IE, IO, 6.269s, 2037 </TD>
     <TD noWrap align=right>2,662,821 </TD>
     <TD noWrap align=right>274,044 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-123, Class CI, IO, 6.269s, 2037 </TD>
     <TD noWrap align=right>2,140,365 </TD>
     <TD noWrap align=right>165,647 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-123, Class UI, IO, 6.269s, 2037 </TD>
     <TD noWrap align=right>2,053,649 </TD>
     <TD noWrap align=right>164,292 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-45, Class EW, IO, 6.249s, 2035 </TD>
     <TD noWrap align=right>583,309 </TD>
     <TD noWrap align=right>46,386 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-15, Class BI, IO, 6.229s, 2037 </TD>
     <TD noWrap align=right>3,437,798 </TD>
     <TD noWrap align=right>271,916 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-126, Class CS, IO, 6.229s, 2037 </TD>
     <TD noWrap align=right>1,467,598 </TD>
     <TD noWrap align=right>110,657 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-16, Class SM, IO, 6.229s, 2036 </TD>
     <TD noWrap align=right>2,094,015 </TD>
     <TD noWrap align=right>177,424 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-95, Class CI, IO, 6.229s, 2035 </TD>
     <TD noWrap align=right>1,176,305 </TD>
     <TD noWrap align=right>106,926 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-84, Class SG, IO, 6.229s, 2035 </TD>
     <TD noWrap align=right>1,928,203 </TD>
     <TD noWrap align=right>160,234 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-57, Class NI, IO, 6.229s, 2035 </TD>
     <TD noWrap align=right>484,193 </TD>
     <TD noWrap align=right>44,224 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-29, Class SX, IO, 6.229s, 2035 </TD>
     <TD noWrap align=right>797,459 </TD>
     <TD noWrap align=right>66,503 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-57, Class DI, IO, 6.229s, 2035 </TD>
     <TD noWrap align=right>845,664 </TD>
     <TD noWrap align=right>65,032 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-92, Class S, IO, 6.229s, 2034 </TD>
     <TD noWrap align=right>2,827,501 </TD>
     <TD noWrap align=right>220,828 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-104, Class EI, IO, 6.219s, 2036 </TD>
     <TD noWrap align=right>1,084,975 </TD>
     <TD noWrap align=right>109,803 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-83, Class QI, IO, 6.219s, 2035 </TD>
     <TD noWrap align=right>319,343 </TD>
     <TD noWrap align=right>31,259 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-128, Class GS, IO, 6.209s, 2037 </TD>
     <TD noWrap align=right>1,191,096 </TD>
     <TD noWrap align=right>91,463 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-114, Class IS, IO, 6.179s, 2036 </TD>
     <TD noWrap align=right>1,058,628 </TD>
     <TD noWrap align=right>79,712 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-116, Class ES, IO, 6.179s, 2036 </TD>
     <TD noWrap align=right>174,680 </TD>
     <TD noWrap align=right>13,584 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-92, Class SQ, IO, 6.179s, 2034 </TD>
     <TD noWrap align=right>1,175,302 </TD>
     <TD noWrap align=right>101,712 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-115, Class IE, IO, 6.169s, 2036 </TD>
     <TD noWrap align=right>823,941 </TD>
     <TD noWrap align=right>78,897 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-117, Class SA, IO, 6.169s, 2036 </TD>
     <TD noWrap align=right>1,228,145 </TD>
     <TD noWrap align=right>93,199 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-121, Class SD, IO, 6.169s, 2036 </TD>
     <TD noWrap align=right>135,591 </TD>
     <TD noWrap align=right>10,251 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-109, Class SG, IO, 6.159s, 2036 </TD>
     <TD noWrap align=right>319,579 </TD>
     <TD noWrap align=right>25,375 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-104, Class SY, IO, 6.149s, 2036 </TD>
     <TD noWrap align=right>285,969 </TD>
     <TD noWrap align=right>21,976 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-109, Class SH, IO, 6.149s, 2036 </TD>
     <TD noWrap align=right>1,008,512 </TD>
     <TD noWrap align=right>88,842 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-111, Class SA, IO, 6.149s, 2036 </TD>
     <TD noWrap align=right>6,708,123 </TD>
     <TD noWrap align=right>513,124 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W6, Class 4A2, IO, 6.129s, 2037 </TD>
     <TD noWrap align=right>5,912,213 </TD>
     <TD noWrap align=right>454,649 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-128, Class SC, IO, 6.129s, 2037 </TD>
     <TD noWrap align=right>1,263,385 </TD>
     <TD noWrap align=right>96,269 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-43, Class SI, IO, 6.129s, 2036 </TD>
     <TD noWrap align=right>2,183,391 </TD>
     <TD noWrap align=right>167,571 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-8, Class JH, IO, 6.129s, 2036 </TD>
     <TD noWrap align=right>4,075,160 </TD>
     <TD noWrap align=right>318,759 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-122, Class SG, IO, 6.129s, 2035 </TD>
     <TD noWrap align=right>964,316 </TD>
     <TD noWrap align=right>95,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-95, Class OI, IO, 6.119s, 2035 </TD>
     <TD noWrap align=right>181,393 </TD>
     <TD noWrap align=right>21,431 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-92, Class LI, IO, 6.109s, 2036 </TD>
     <TD noWrap align=right>1,216,599 </TD>
     <TD noWrap align=right>91,144 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-99, Class AS, IO, 6.109s, 2036 </TD>
     <TD noWrap align=right>338,857 </TD>
     <TD noWrap align=right>26,905 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-98, Class SQ, IO, 6.099s, 2036 </TD>
     <TD noWrap align=right>11,007,589 </TD>
     <TD noWrap align=right>832,174 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-85, Class TS, IO, 6.089s, 2036 </TD>
     <TD noWrap align=right>2,714,325 </TD>
     <TD noWrap align=right>208,818 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-75, Class PI, IO, 6.069s, 2037 </TD>
     <TD noWrap align=right>1,309,780 </TD>
     <TD noWrap align=right>102,142 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-88, Class MI, IO, 6.049s, 2037 </TD>
     <TD noWrap align=right>484,951 </TD>
     <TD noWrap align=right>59,184 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-103, Class AI, IO, 6.029s, 2037 </TD>
     <TD noWrap align=right>5,860,884 </TD>
     <TD noWrap align=right>416,006 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-15, Class NI, IO, 6.029s, 2022 </TD>
     <TD noWrap align=right>1,949,138 </TD>
     <TD noWrap align=right>142,482 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 08-76, Class JI, IO, 6s, 2038 </TD>
     <TD noWrap align=right>1,346,470 </TD>
     <TD noWrap align=right>124,548 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 11, IO, 6s, 2038 </TD>
     <TD noWrap align=right>90,850 </TD>
     <TD noWrap align=right>11,684 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 41, IO, 6s, 2038 </TD>
     <TD noWrap align=right>1,181,549 </TD>
     <TD noWrap align=right>100,432 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 42, IO, 6s, 2038 </TD>
     <TD noWrap align=right>854,104 </TD>
     <TD noWrap align=right>72,599 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 43, IO, 6s, 2038 </TD>
     <TD noWrap align=right>771,579 </TD>
     <TD noWrap align=right>65,584 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 44, IO, 6s, 2038 </TD>
     <TD noWrap align=right>704,676 </TD>
     <TD noWrap align=right>59,897 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 45, IO, 6s, 2038 </TD>
     <TD noWrap align=right>543,315 </TD>
     <TD noWrap align=right>46,182 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 46, IO, 6s, 2038 </TD>
     <TD noWrap align=right>471,930 </TD>
     <TD noWrap align=right>40,114 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 47, IO, 6s, 2038 </TD>
     <TD noWrap align=right>417,974 </TD>
     <TD noWrap align=right>35,528 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 48, IO, 6s, 2038 </TD>
     <TD noWrap align=right>375,405 </TD>
     <TD noWrap align=right>34,725 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 9, IO, 6s, 2038 </TD>
     <TD noWrap align=right>675,498 </TD>
     <TD noWrap align=right>57,417 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 28, IO, 6s, 2038 </TD>
     <TD noWrap align=right>1,416,836 </TD>
     <TD noWrap align=right>131,057 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 29, IO, 6s, 2038 </TD>
     <TD noWrap align=right>1,274,069 </TD>
     <TD noWrap align=right>117,851 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 30, IO, 6s, 2038 </TD>
     <TD noWrap align=right>941,220 </TD>
     <TD noWrap align=right>87,063 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 31, IO, 6s, 2038 </TD>
     <TD noWrap align=right>829,506 </TD>
     <TD noWrap align=right>76,729 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 32, IO, 6s, 2038 </TD>
     <TD noWrap align=right>644,040 </TD>
     <TD noWrap align=right>59,574 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 33, IO, 6s, 2038 </TD>
     <TD noWrap align=right>551,005 </TD>
     <TD noWrap align=right>50,968 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 7, IO, 6s, 2038 </TD>
     <TD noWrap align=right>831,418 </TD>
     <TD noWrap align=right>75,825 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 386, Class 6, IO, 6s, 2037 </TD>
     <TD noWrap align=right>398,071 </TD>
     <TD noWrap align=right>33,358 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_3"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 39, IO, 6s, 2037 </TD>
     <TD noWrap align=right>87,641 </TD>
     <TD noWrap align=right>10,951 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 53, IO, 6s, 2037 </TD>
     <TD noWrap align=right>83,704 </TD>
     <TD noWrap align=right>8,396 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 100, IO, 6s, 2022 </TD>
     <TD noWrap align=right>74,081 </TD>
     <TD noWrap align=right>5,715 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-106, Class SM, IO, 5.989s, 2037 </TD>
     <TD noWrap align=right>3,060,025 </TD>
     <TD noWrap align=right>234,995 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-3, Class SC, IO, 5.979s, 2038 </TD>
     <TD noWrap align=right>2,376,597 </TD>
     <TD noWrap align=right>222,899 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-109, Class XI, IO, 5.979s, 2037 </TD>
     <TD noWrap align=right>863,416 </TD>
     <TD noWrap align=right>76,520 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-109, Class YI, IO, 5.979s, 2037 </TD>
     <TD noWrap align=right>1,278,793 </TD>
     <TD noWrap align=right>97,243 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W8, Class 2A2, IO, 5.979s, 2037 </TD>
     <TD noWrap align=right>2,164,288 </TD>
     <TD noWrap align=right>150,790 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-88, Class JI, IO, 5.979s, 2037 </TD>
     <TD noWrap align=right>1,528,191 </TD>
     <TD noWrap align=right>114,411 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-79, Class SH, IO, 5.979s, 2036 </TD>
     <TD noWrap align=right>1,914,355 </TD>
     <TD noWrap align=right>200,178 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class KI, IO, 5.969s, 2037 </TD>
     <TD noWrap align=right>655,024 </TD>
     <TD noWrap align=right>46,224 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-30, Class JS, IO, 5.969s, 2037 </TD>
     <TD noWrap align=right>2,351,257 </TD>
     <TD noWrap align=right>183,633 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-30, Class LI, IO, 5.969s, 2037 </TD>
     <TD noWrap align=right>2,298,555 </TD>
     <TD noWrap align=right>195,492 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-W2, Class 1A2, IO, 5.959s, 2037 </TD>
     <TD noWrap align=right>967,517 </TD>
     <TD noWrap align=right>66,953 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-106, Class SN, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,268,261 </TD>
     <TD noWrap align=right>95,788 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class IA, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,172,017 </TD>
     <TD noWrap align=right>85,578 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class IB, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,172,017 </TD>
     <TD noWrap align=right>85,578 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class IC, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,172,017 </TD>
     <TD noWrap align=right>85,578 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class ID, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,172,017 </TD>
     <TD noWrap align=right>85,578 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class IE, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,172,017 </TD>
     <TD noWrap align=right>85,578 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class IF, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,869,667 </TD>
     <TD noWrap align=right>158,342 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class NI, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,032,572 </TD>
     <TD noWrap align=right>73,919 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-54, Class UI, IO, 5.939s, 2037 </TD>
     <TD noWrap align=right>1,762,941 </TD>
     <TD noWrap align=right>87,883 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-91, Class AS, IO, 5.929s, 2037 </TD>
     <TD noWrap align=right>855,814 </TD>
     <TD noWrap align=right>65,812 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-91, Class HS, IO, 5.929s, 2037 </TD>
     <TD noWrap align=right>913,616 </TD>
     <TD noWrap align=right>74,838 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-15, Class CI, IO, 5.909s, 2037 </TD>
     <TD noWrap align=right>3,985,381 </TD>
     <TD noWrap align=right>289,147 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-115, Class JI, IO, 5.909s, 2036 </TD>
     <TD noWrap align=right>2,888,987 </TD>
     <TD noWrap align=right>225,630 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-109, Class PI, IO, 5.879s, 2037 </TD>
     <TD noWrap align=right>1,421,986 </TD>
     <TD noWrap align=right>101,066 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-123, Class LI, IO, 5.849s, 2037 </TD>
     <TD noWrap align=right>1,926,954 </TD>
     <TD noWrap align=right>145,658 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-1, Class NI, IO, 5.779s, 2037 </TD>
     <TD noWrap align=right>2,567,585 </TD>
     <TD noWrap align=right>171,771 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-10, Class GI, IO, 5.759s, 2038 </TD>
     <TD noWrap align=right>1,498,302 </TD>
     <TD noWrap align=right>90,767 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-13, Class SA, IO, 5.749s, 2038 </TD>
     <TD noWrap align=right>6,078,057 </TD>
     <TD noWrap align=right>449,934 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-39, Class AI, IO, 5.649s, 2037 </TD>
     <TD noWrap align=right>2,171,969 </TD>
     <TD noWrap align=right>163,115 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-32, Class SD, IO, 5.639s, 2037 </TD>
     <TD noWrap align=right>1,391,428 </TD>
     <TD noWrap align=right>107,673 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-30, Class UI, IO, 5.629s, 2037 </TD>
     <TD noWrap align=right>1,139,125 </TD>
     <TD noWrap align=right>76,884 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-32, Class SC, IO, 5.629s, 2037 </TD>
     <TD noWrap align=right>1,972,847 </TD>
     <TD noWrap align=right>135,860 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-1, Class CI, IO, 5.629s, 2037 </TD>
     <TD noWrap align=right>1,325,661 </TD>
     <TD noWrap align=right>90,165 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-74, Class SE, IO, 5.629s, 2035 </TD>
     <TD noWrap align=right>1,536,011 </TD>
     <TD noWrap align=right>104,624 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-14, Class SE, IO, 5.579s, 2035 </TD>
     <TD noWrap align=right>985,550 </TD>
     <TD noWrap align=right>66,180 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 18, IO, 5 1/2s, 2038 </TD>
     <TD noWrap align=right>749,100 </TD>
     <TD noWrap align=right>71,164 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 19, IO, 5 1/2s, 2038 </TD>
     <TD noWrap align=right>683,714 </TD>
     <TD noWrap align=right>64,953 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 4, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>1,046,067 </TD>
     <TD noWrap align=right>99,376 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 5, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>664,393 </TD>
     <TD noWrap align=right>63,117 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 6, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>596,402 </TD>
     <TD noWrap align=right>56,658 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 7, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>588,543 </TD>
     <TD noWrap align=right>55,912 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 20, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>424,138 </TD>
     <TD noWrap align=right>41,353 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 383, Class 21, IO, 5 1/2s, 2037 </TD>
     <TD noWrap align=right>400,534 </TD>
     <TD noWrap align=right>39,052 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-1, Class BI, IO, 5.439s, 2038 </TD>
     <TD noWrap align=right>3,975,321 </TD>
     <TD noWrap align=right>253,407 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-75, Class ID, IO, 5.399s, 2037 </TD>
     <TD noWrap align=right>1,350,086 </TD>
     <TD noWrap align=right>89,693 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-W17, Class 12, IO, 1.148s, 2033 </TD>
     <TD noWrap align=right>1,977,993 </TD>
     <TD noWrap align=right>52,597 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-W10, Class 3A, IO, 0.661s, 2043 </TD>
     <TD noWrap align=right>3,243,597 </TD>
     <TD noWrap align=right>30,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-W10, Class 1A, IO, 0.618s, 2043 </TD>
     <TD noWrap align=right>2,749,012 </TD>
     <TD noWrap align=right>21,173 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-T18, IO, 0.513s, 2042 </TD>
     <TD noWrap align=right>5,442,159 </TD>
     <TD noWrap align=right>66,929 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-56, Class XF, zero %, 2036 </TD>
     <TD noWrap align=right>86,757 </TD>
     <TD noWrap align=right>81,923 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-51, Class N, Principal Only (PO), zero %, 2029 </TD>
     <TD noWrap align=right>53,961 </TD>
     <TD noWrap align=right>45,087 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-15, Class IM, IO, zero %, 2009 </TD>
     <TD noWrap align=right>1,127,179 </TD>
     <TD noWrap align=right>847 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-16, Class TS, IO, zero %, 2009 </TD>
     <TD noWrap align=right>4,688,394 </TD>
     <TD noWrap align=right>3,801 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-91, Class EF, zero %, 2035 </TD>
     <TD noWrap align=right>80,346 </TD>
     <TD noWrap align=right>76,238 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-54, Class CF, zero %, 2035 </TD>
     <TD noWrap align=right>120,336 </TD>
     <TD noWrap align=right>116,580 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Federal Home Loan Mortgage Corp. Structured </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pass-Through Securities </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. T-56, Class 2ASI, IO, 7.629s, 2043 </TD>
     <TD noWrap align=right>670,650 </TD>
     <TD noWrap align=right>87,185 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. T-57, Class 1AX, IO, 0.45s, 2043 </TD>
     <TD noWrap align=right>1,810,808 </TD>
     <TD noWrap align=right>16,552 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IO, 1.314s, 2020 </TD>
     <TD noWrap align=right>4,742,102 </TD>
     <TD noWrap align=right>115,992 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.012s, 2039 </TD>
     <TD noWrap align=right>320,500 </TD>
     <TD noWrap align=right>317,295 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freddie Mac </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3182, Class SP, 23.82s, 2032 </TD>
     <TD noWrap align=right>402,933 </TD>
     <TD noWrap align=right>436,385 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3081, Class DC, 23.782s, 2035 </TD>
     <TD noWrap align=right>430,030 </TD>
     <TD noWrap align=right>492,611 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3211, Class SI, IO, 22.641s, 2036 </TD>
     <TD noWrap align=right>313,364 </TD>
     <TD noWrap align=right>132,211 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3114, Class GK, 21.62s, 2036 </TD>
     <TD noWrap align=right>303,399 </TD>
     <TD noWrap align=right>352,674 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 2979, Class AS, 19.892s, 2034 </TD>
     <TD noWrap align=right>189,674 </TD>
     <TD noWrap align=right>206,844 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3149, Class SU, 16.376s, 2036 </TD>
     <TD noWrap align=right>359,087 </TD>
     <TD noWrap align=right>381,868 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3012, Class FS, 13.888s, 2035 </TD>
     <TD noWrap align=right>483,535 </TD>
     <TD noWrap align=right>497,432 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3184, Class SP, IO, 6.155s, 2033 </TD>
     <TD noWrap align=right>1,639,757 </TD>
     <TD noWrap align=right>132,666 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 239, IO, 6.005s, 2036 </TD>
     <TD noWrap align=right>1,688,293 </TD>
     <TD noWrap align=right>99,356 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 2882, Class LS, IO, 6.005s, 2034 </TD>
     <TD noWrap align=right>742,226 </TD>
     <TD noWrap align=right>60,748 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3203, Class SH, IO, 5.945s, 2036 </TD>
     <TD noWrap align=right>941,045 </TD>
     <TD noWrap align=right>77,895 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 2594, Class SE, IO, 5.855s, 2030 </TD>
     <TD noWrap align=right>332,222 </TD>
     <TD noWrap align=right>19,669 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 2828, Class TI, IO, 5.855s, 2030 </TD>
     <TD noWrap align=right>591,003 </TD>
     <TD noWrap align=right>47,895 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3397, Class GS, IO, 5.805s, 2037 </TD>
     <TD noWrap align=right>794,273 </TD>
     <TD noWrap align=right>67,604 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3297, Class BI, IO, 5.565s, 2037 </TD>
     <TD noWrap align=right>3,752,200 </TD>
     <TD noWrap align=right>294,979 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3287, Class SD, IO, 5.555s, 2037 </TD>
     <TD noWrap align=right>1,273,025 </TD>
     <TD noWrap align=right>99,104 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3281, Class BI, IO, 5.555s, 2037 </TD>
     <TD noWrap align=right>670,570 </TD>
     <TD noWrap align=right>56,022 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3281, Class CI, IO, 5.555s, 2037 </TD>
     <TD noWrap align=right>732,332 </TD>
     <TD noWrap align=right>60,019 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3249, Class SI, IO, 5.555s, 2036 </TD>
     <TD noWrap align=right>610,144 </TD>
     <TD noWrap align=right>66,474 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3028, Class ES, IO, 5.555s, 2035 </TD>
     <TD noWrap align=right>1,972,105 </TD>
     <TD noWrap align=right>166,978 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3042, Class SP, IO, 5.555s, 2035 </TD>
     <TD noWrap align=right>971,360 </TD>
     <TD noWrap align=right>92,952 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3045, Class DI, IO, 5.535s, 2035 </TD>
     <TD noWrap align=right>7,303,692 </TD>
     <TD noWrap align=right>536,062 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3236, Class ES, IO, 5.505s, 2036 </TD>
     <TD noWrap align=right>102,380 </TD>
     <TD noWrap align=right>8,433 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3136, Class NS, IO, 5.505s, 2036 </TD>
     <TD noWrap align=right>775,165 </TD>
     <TD noWrap align=right>61,226 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 2950, Class SM, IO, 5.505s, 2016 </TD>
     <TD noWrap align=right>490,447 </TD>
     <TD noWrap align=right>44,403 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3256, Class S, IO, 5.495s, 2036 </TD>
     <TD noWrap align=right>1,804,776 </TD>
     <TD noWrap align=right>149,977 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3031, Class BI, IO, 5.495s, 2035 </TD>
     <TD noWrap align=right>632,974 </TD>
     <TD noWrap align=right>58,459 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_4"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3370, Class TS, IO, 5.475s, 2037 </TD>
     <TD noWrap align=right>3,628,117 </TD>
     <TD noWrap align=right>312,075 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3244, Class SB, IO, 5.465s, 2036 </TD>
     <TD noWrap align=right>957,307 </TD>
     <TD noWrap align=right>80,973 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3244, Class SG, IO, 5.465s, 2036 </TD>
     <TD noWrap align=right>1,116,017 </TD>
     <TD noWrap align=right>85,485 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3236, Class IS, IO, 5.455s, 2036 </TD>
     <TD noWrap align=right>1,859,923 </TD>
     <TD noWrap align=right>139,494 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3033, Class SG, IO, 5.455s, 2035 </TD>
     <TD noWrap align=right>805,234 </TD>
     <TD noWrap align=right>66,760 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3114, Class TS, IO, 5.455s, 2030 </TD>
     <TD noWrap align=right>3,666,914 </TD>
     <TD noWrap align=right>292,891 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3128, Class JI, IO, 5.435s, 2036 </TD>
     <TD noWrap align=right>349,384 </TD>
     <TD noWrap align=right>28,160 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3240, Class S, IO, 5.425s, 2036 </TD>
     <TD noWrap align=right>3,325,590 </TD>
     <TD noWrap align=right>241,079 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3229, Class BI, IO, 5.425s, 2036 </TD>
     <TD noWrap align=right>109,694 </TD>
     <TD noWrap align=right>8,201 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3153, Class JI, IO, 5.425s, 2036 </TD>
     <TD noWrap align=right>1,476,570 </TD>
     <TD noWrap align=right>107,937 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3065, Class DI, IO, 5.425s, 2035 </TD>
     <TD noWrap align=right>489,800 </TD>
     <TD noWrap align=right>43,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3145, Class GI, IO, 5.405s, 2036 </TD>
     <TD noWrap align=right>287,101 </TD>
     <TD noWrap align=right>23,858 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3218, Class AS, IO, 5.385s, 2036 </TD>
     <TD noWrap align=right>1,068,783 </TD>
     <TD noWrap align=right>76,683 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3221, Class SI, IO, 5.385s, 2036 </TD>
     <TD noWrap align=right>1,504,770 </TD>
     <TD noWrap align=right>108,410 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3153, Class UI, IO, 5 3/8s, 2036 </TD>
     <TD noWrap align=right>1,035,717 </TD>
     <TD noWrap align=right>96,948 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3424, Class XI, IO, 5 3/8s, 2036 </TD>
     <TD noWrap align=right>1,869,875 </TD>
     <TD noWrap align=right>154,212 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3202, Class PI, IO, 5.345s, 2036 </TD>
     <TD noWrap align=right>4,182,141 </TD>
     <TD noWrap align=right>306,497 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3355, Class MI, IO, 5.305s, 2037 </TD>
     <TD noWrap align=right>907,859 </TD>
     <TD noWrap align=right>68,404 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3201, Class SG, IO, 5.305s, 2036 </TD>
     <TD noWrap align=right>1,918,405 </TD>
     <TD noWrap align=right>175,841 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3203, Class SE, IO, 5.305s, 2036 </TD>
     <TD noWrap align=right>1,719,479 </TD>
     <TD noWrap align=right>149,543 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3238, Class LI, IO, 5.295s, 2036 </TD>
     <TD noWrap align=right>950,180 </TD>
     <TD noWrap align=right>75,387 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3171, Class PS, IO, 5.29s, 2036 </TD>
     <TD noWrap align=right>1,362,818 </TD>
     <TD noWrap align=right>108,208 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3152, Class SY, IO, 5.285s, 2036 </TD>
     <TD noWrap align=right>3,081,170 </TD>
     <TD noWrap align=right>279,431 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3366, Class SA, IO, 5.255s, 2037 </TD>
     <TD noWrap align=right>1,745,784 </TD>
     <TD noWrap align=right>130,419 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3284, Class BI, IO, 5.255s, 2037 </TD>
     <TD noWrap align=right>1,105,428 </TD>
     <TD noWrap align=right>85,223 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3260, Class SA, IO, 5.255s, 2037 </TD>
     <TD noWrap align=right>982,806 </TD>
     <TD noWrap align=right>65,019 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3199, Class S, IO, 5.255s, 2036 </TD>
     <TD noWrap align=right>2,719,081 </TD>
     <TD noWrap align=right>216,194 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3284, Class LI, IO, 5.245s, 2037 </TD>
     <TD noWrap align=right>3,132,439 </TD>
     <TD noWrap align=right>221,689 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3281, Class AI, IO, 5.235s, 2037 </TD>
     <TD noWrap align=right>4,049,937 </TD>
     <TD noWrap align=right>331,811 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class EI, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,169,846 </TD>
     <TD noWrap align=right>88,005 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class IA, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,777,953 </TD>
     <TD noWrap align=right>150,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class IB, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,777,953 </TD>
     <TD noWrap align=right>150,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class IC, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,777,953 </TD>
     <TD noWrap align=right>150,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class ID, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,777,953 </TD>
     <TD noWrap align=right>150,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class IE, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>2,683,557 </TD>
     <TD noWrap align=right>227,083 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3311, Class PI, IO, 5.215s, 2037 </TD>
     <TD noWrap align=right>1,260,672 </TD>
     <TD noWrap align=right>95,428 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3375, Class MS, IO, 5.205s, 2037 </TD>
     <TD noWrap align=right>5,719,625 </TD>
     <TD noWrap align=right>426,021 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3240, Class GS, IO, 5.185s, 2036 </TD>
     <TD noWrap align=right>2,008,348 </TD>
     <TD noWrap align=right>160,628 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3257, Class SI, IO, 5 1/8s, 2036 </TD>
     <TD noWrap align=right>869,700 </TD>
     <TD noWrap align=right>65,198 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3225, Class JY, IO, 5.095s, 2036 </TD>
     <TD noWrap align=right>3,800,108 </TD>
     <TD noWrap align=right>259,251 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3416, Class BI, IO, 5.055s, 2038 </TD>
     <TD noWrap align=right>3,699,463 </TD>
     <TD noWrap align=right>274,045 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3339, Class TI, IO, 4.945s, 2037 </TD>
     <TD noWrap align=right>2,070,841 </TD>
     <TD noWrap align=right>161,029 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3284, Class CI, IO, 4.925s, 2037 </TD>
     <TD noWrap align=right>5,130,461 </TD>
     <TD noWrap align=right>344,505 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3016, Class SQ, IO, 4.915s, 2035 </TD>
     <TD noWrap align=right>1,317,916 </TD>
     <TD noWrap align=right>73,010 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3397, Class SQ, IO, 4.775s, 2037 </TD>
     <TD noWrap align=right>2,784,079 </TD>
     <TD noWrap align=right>186,539 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3226, Class YS, IO, 4.655s, 2036 </TD>
     <TD noWrap align=right>3,252,603 </TD>
     <TD noWrap align=right>68,978 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 3424, Class UI, IO, 4.565s, 2037 </TD>
     <TD noWrap align=right>1,297,591 </TD>
     <TD noWrap align=right>79,914 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 3292, Class DO, PO, zero %, 2037 </TD>
     <TD noWrap align=right>92,520 </TD>
     <TD noWrap align=right>84,133 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 3292, Class OA, PO, zero %, 2037 </TD>
     <TD noWrap align=right>127,534 </TD>
     <TD noWrap align=right>100,918 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 3226, Class YI, IO, zero %, 2036 </TD>
     <TD noWrap align=right>3,252,603 </TD>
     <TD noWrap align=right>16,699 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 3139, Class CO, PO, zero %, 2036 </TD>
     <TD noWrap align=right>160,443 </TD>
     <TD noWrap align=right>145,778 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3345, Class TY, zero %, 2037 </TD>
     <TD noWrap align=right>192,168 </TD>
     <TD noWrap align=right>190,547 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3326, Class XF, zero %, 2037 </TD>
     <TD noWrap align=right>175,163 </TD>
     <TD noWrap align=right>163,198 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3273, Class HF, zero %, 2037 </TD>
     <TD noWrap align=right>75,385 </TD>
     <TD noWrap align=right>72,584 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3235, Class TP, zero %, 2036 </TD>
     <TD noWrap align=right>55,261 </TD>
     <TD noWrap align=right>52,702 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3283, Class KF, zero %, 2036 </TD>
     <TD noWrap align=right>64,719 </TD>
     <TD noWrap align=right>64,651 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3226, Class YW, zero %, 2036 </TD>
     <TD noWrap align=right>303,098 </TD>
     <TD noWrap align=right>285,918 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3332, Class UA, zero %, 2036 </TD>
     <TD noWrap align=right>65,625 </TD>
     <TD noWrap align=right>65,802 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3251, Class TC, zero %, 2036 </TD>
     <TD noWrap align=right>764,411 </TD>
     <TD noWrap align=right>702,632 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3130, Class JF, zero %, 2036 </TD>
     <TD noWrap align=right>289,635 </TD>
     <TD noWrap align=right>267,502 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3326, Class WF, zero %, 2035 </TD>
     <TD noWrap align=right>167,685 </TD>
     <TD noWrap align=right>148,097 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3030, Class EF, zero %, 2035 </TD>
     <TD noWrap align=right>87,713 </TD>
     <TD noWrap align=right>78,916 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 3412, Class UF, zero %, 2035 </TD>
     <TD noWrap align=right>425,275 </TD>
     <TD noWrap align=right>387,704 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 2980, Class TY, zero %, 2035 </TD>
     <TD noWrap align=right>55,940 </TD>
     <TD noWrap align=right>52,460 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GE Capital Commercial Mortgage Corp. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 00-1, Class F, 7.513s, 2033 </TD>
     <TD noWrap align=right>170,000 </TD>
     <TD noWrap align=right>120,987 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-1, Class G, 6.131s, 2033 </TD>
     <TD noWrap align=right>596,000 </TD>
     <TD noWrap align=right>119,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC Commercial Mortgage Securities, Inc. 144A Ser. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>99-C3, Class G, 6.974s, 2036 </TD>
     <TD noWrap align=right>529,968 </TD>
     <TD noWrap align=right>158,990 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Government National Mortgage Association </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-41, Class SA, 37.155s, 2037 </TD>
     <TD noWrap align=right>110,494 </TD>
     <TD noWrap align=right>137,293 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-51, Class SP, 36.435s, 2037 </TD>
     <TD noWrap align=right>84,920 </TD>
     <TD noWrap align=right>104,190 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-66, Class SP, 17.367s, 2035 </TD>
     <TD noWrap align=right>418,938 </TD>
     <TD noWrap align=right>434,096 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-17, Class CI, IO, 7 1/2s, 2037 </TD>
     <TD noWrap align=right>551,426 </TD>
     <TD noWrap align=right>51,007 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-29, Class SA, IO, 7.273s, 2038 </TD>
     <TD noWrap align=right>6,517,342 </TD>
     <TD noWrap align=right>486,076 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-2, Class SA, IO, 6.873s, 2037 </TD>
     <TD noWrap align=right>163,421 </TD>
     <TD noWrap align=right>11,827 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-69, Class SI, IO, 6.873s, 2036 </TD>
     <TD noWrap align=right>1,090,315 </TD>
     <TD noWrap align=right>80,824 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-61, Class SM, IO, 6.873s, 2036 </TD>
     <TD noWrap align=right>2,155,926 </TD>
     <TD noWrap align=right>159,467 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-62, Class SI, IO, 6.873s, 2036 </TD>
     <TD noWrap align=right>1,217,731 </TD>
     <TD noWrap align=right>84,507 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-1, Class SL, IO, 6.853s, 2037 </TD>
     <TD noWrap align=right>585,789 </TD>
     <TD noWrap align=right>42,607 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-1, Class SM, IO, 6.843s, 2037 </TD>
     <TD noWrap align=right>585,789 </TD>
     <TD noWrap align=right>42,532 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-62, Class SA, IO, 6.833s, 2036 </TD>
     <TD noWrap align=right>1,502,392 </TD>
     <TD noWrap align=right>108,474 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-64, Class SB, IO, 6.833s, 2036 </TD>
     <TD noWrap align=right>1,511,758 </TD>
     <TD noWrap align=right>114,604 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-68, Class PU, IO, 6.793s, 2032 </TD>
     <TD noWrap align=right>942,858 </TD>
     <TD noWrap align=right>92,768 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-42, Class AI, IO, 6.65s, 2038 </TD>
     <TD noWrap align=right>7,787,174 </TD>
     <TD noWrap align=right>719,971 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-49, Class NY, IO, 6.593s, 2035 </TD>
     <TD noWrap align=right>3,867,779 </TD>
     <TD noWrap align=right>273,131 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-26, Class SG, IO, 6.343s, 2037 </TD>
     <TD noWrap align=right>1,846,982 </TD>
     <TD noWrap align=right>113,497 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-9, Class BI, IO, 6.313s, 2037 </TD>
     <TD noWrap align=right>3,366,288 </TD>
     <TD noWrap align=right>214,736 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-31, Class CI, IO, 6.303s, 2037 </TD>
     <TD noWrap align=right>949,796 </TD>
     <TD noWrap align=right>65,255 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-25, Class SA, IO, 6.293s, 2037 </TD>
     <TD noWrap align=right>1,237,337 </TD>
     <TD noWrap align=right>80,051 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-25, Class SB, IO, 6.293s, 2037 </TD>
     <TD noWrap align=right>2,495,927 </TD>
     <TD noWrap align=right>157,842 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-22, Class S, IO, 6.293s, 2037 </TD>
     <TD noWrap align=right>1,048,404 </TD>
     <TD noWrap align=right>81,058 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-11, Class SA, IO, 6.293s, 2037 </TD>
     <TD noWrap align=right>859,701 </TD>
     <TD noWrap align=right>62,976 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-14, Class SB, IO, 6.293s, 2037 </TD>
     <TD noWrap align=right>815,588 </TD>
     <TD noWrap align=right>50,948 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-69, Class SA, IO, 6.293s, 2036 </TD>
     <TD noWrap align=right>2,083,912 </TD>
     <TD noWrap align=right>148,737 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_5"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-84, Class AS, IO, 6.293s, 2035 </TD>
     <TD noWrap align=right>3,017,195 </TD>
     <TD noWrap align=right>246,797 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-40, Class SB, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>2,108,505 </TD>
     <TD noWrap align=right>134,154 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-40, Class SC, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>133,628 </TD>
     <TD noWrap align=right>8,502 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-40, Class SD, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>133,628 </TD>
     <TD noWrap align=right>8,502 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-40, Class SE, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>133,628 </TD>
     <TD noWrap align=right>8,502 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-42, Class SC, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>260,266 </TD>
     <TD noWrap align=right>16,061 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-51, Class SJ, IO, 6.243s, 2037 </TD>
     <TD noWrap align=right>1,095,509 </TD>
     <TD noWrap align=right>83,730 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-53, Class SY, IO, 6.228s, 2037 </TD>
     <TD noWrap align=right>1,920,877 </TD>
     <TD noWrap align=right>148,296 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-58, Class PS, IO, 6.193s, 2037 </TD>
     <TD noWrap align=right>964,633 </TD>
     <TD noWrap align=right>71,977 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-41, Class SM, IO, 6.193s, 2037 </TD>
     <TD noWrap align=right>381,313 </TD>
     <TD noWrap align=right>25,014 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-41, Class SN, IO, 6.193s, 2037 </TD>
     <TD noWrap align=right>388,535 </TD>
     <TD noWrap align=right>25,488 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-88, Class S, IO, 6.193s, 2032 </TD>
     <TD noWrap align=right>1,594,108 </TD>
     <TD noWrap align=right>101,414 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-40, Class SG, IO, 6.173s, 2037 </TD>
     <TD noWrap align=right>297,565 </TD>
     <TD noWrap align=right>18,157 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-59, Class PS, IO, 6.163s, 2037 </TD>
     <TD noWrap align=right>860,460 </TD>
     <TD noWrap align=right>61,677 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-59, Class SP, IO, 6.163s, 2037 </TD>
     <TD noWrap align=right>189,019 </TD>
     <TD noWrap align=right>13,762 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-59, Class SC, IO, 6.16s, 2034 </TD>
     <TD noWrap align=right>668,080 </TD>
     <TD noWrap align=right>57,564 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-26, Class IS, IO, 6.16s, 2034 </TD>
     <TD noWrap align=right>692,461 </TD>
     <TD noWrap align=right>55,116 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-38, Class SG, IO, 6.143s, 2033 </TD>
     <TD noWrap align=right>3,771,753 </TD>
     <TD noWrap align=right>202,091 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-45, Class QA, IO, 6.133s, 2037 </TD>
     <TD noWrap align=right>260,497 </TD>
     <TD noWrap align=right>15,135 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-53, Class SG, IO, 6.093s, 2037 </TD>
     <TD noWrap align=right>609,110 </TD>
     <TD noWrap align=right>39,892 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-45, Class QB, IO, 6.093s, 2037 </TD>
     <TD noWrap align=right>260,497 </TD>
     <TD noWrap align=right>14,979 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-51, Class SG, IO, 6.073s, 2037 </TD>
     <TD noWrap align=right>5,476,637 </TD>
     <TD noWrap align=right>361,352 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-47, Class SA, IO, 6.06s, 2036 </TD>
     <TD noWrap align=right>1,115,514 </TD>
     <TD noWrap align=right>102,759 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-3, Class SA, IO, 6.043s, 2038 </TD>
     <TD noWrap align=right>2,223,760 </TD>
     <TD noWrap align=right>125,242 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-79, Class SY, IO, 6.043s, 2037 </TD>
     <TD noWrap align=right>3,725,424 </TD>
     <TD noWrap align=right>235,074 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-64, Class AI, IO, 6.043s, 2037 </TD>
     <TD noWrap align=right>1,972,677 </TD>
     <TD noWrap align=right>114,652 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-53, Class ES, IO, 6.043s, 2037 </TD>
     <TD noWrap align=right>871,247 </TD>
     <TD noWrap align=right>51,670 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-2, Class SB, IO, 6.013s, 2038 </TD>
     <TD noWrap align=right>5,521,475 </TD>
     <TD noWrap align=right>324,591 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-10, Class SB, IO, 6.013s, 2037 </TD>
     <TD noWrap align=right>5,990,883 </TD>
     <TD noWrap align=right>344,356 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-4, Class SA, IO, 6.009s, 2038 </TD>
     <TD noWrap align=right>10,906,899 </TD>
     <TD noWrap align=right>637,574 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-9, Class DI, IO, 6.003s, 2037 </TD>
     <TD noWrap align=right>1,696,840 </TD>
     <TD noWrap align=right>109,550 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-57, Class QA, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>2,214,568 </TD>
     <TD noWrap align=right>113,497 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-58, Class SA, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>1,461,000 </TD>
     <TD noWrap align=right>86,094 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-58, Class SC, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>1,585,062 </TD>
     <TD noWrap align=right>86,687 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-59, Class SA, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>6,681,250 </TD>
     <TD noWrap align=right>373,215 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-61, Class SA, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>1,145,206 </TD>
     <TD noWrap align=right>59,070 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-53, Class SC, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>952,747 </TD>
     <TD noWrap align=right>53,125 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-59, Class SC, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>358,911 </TD>
     <TD noWrap align=right>21,696 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-53, Class SE, IO, 5.993s, 2037 </TD>
     <TD noWrap align=right>217,539 </TD>
     <TD noWrap align=right>13,973 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-26, Class S, IO, 5.993s, 2036 </TD>
     <TD noWrap align=right>5,195,039 </TD>
     <TD noWrap align=right>334,031 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-15, Class CI, IO, 5.983s, 2038 </TD>
     <TD noWrap align=right>8,936,424 </TD>
     <TD noWrap align=right>521,244 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-58, Class SD, IO, 5.983s, 2037 </TD>
     <TD noWrap align=right>1,485,062 </TD>
     <TD noWrap align=right>80,179 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-9, Class SK, IO, 5.973s, 2038 </TD>
     <TD noWrap align=right>3,045,327 </TD>
     <TD noWrap align=right>173,766 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-6, Class SC, IO, 5.968s, 2038 </TD>
     <TD noWrap align=right>8,998,117 </TD>
     <TD noWrap align=right>524,275 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-59, Class SD, IO, 5.963s, 2037 </TD>
     <TD noWrap align=right>294,737 </TD>
     <TD noWrap align=right>17,054 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-49, Class SA, IO, 5.953s, 2036 </TD>
     <TD noWrap align=right>2,485,709 </TD>
     <TD noWrap align=right>138,752 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-35, Class NY, IO, 5.86s, 2035 </TD>
     <TD noWrap align=right>1,946,536 </TD>
     <TD noWrap align=right>178,824 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-65, Class SI, IO, 5.843s, 2035 </TD>
     <TD noWrap align=right>1,364,460 </TD>
     <TD noWrap align=right>83,914 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-7, Class SB, IO, 5.813s, 2036 </TD>
     <TD noWrap align=right>310,974 </TD>
     <TD noWrap align=right>18,701 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-16, Class SX, IO, 5.783s, 2036 </TD>
     <TD noWrap align=right>1,820,010 </TD>
     <TD noWrap align=right>106,380 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-26, Class SD, IO, 5.76s, 2037 </TD>
     <TD noWrap align=right>1,873,752 </TD>
     <TD noWrap align=right>113,549 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-17, Class IB, IO, 5.743s, 2037 </TD>
     <TD noWrap align=right>788,338 </TD>
     <TD noWrap align=right>60,158 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-14, Class S, IO, 5.743s, 2036 </TD>
     <TD noWrap align=right>1,293,801 </TD>
     <TD noWrap align=right>74,636 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-57, Class PS, IO, 5.743s, 2035 </TD>
     <TD noWrap align=right>1,393,432 </TD>
     <TD noWrap align=right>140,961 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-11, Class ST, IO, 5.733s, 2036 </TD>
     <TD noWrap align=right>815,391 </TD>
     <TD noWrap align=right>46,730 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-27, Class SD, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>900,097 </TD>
     <TD noWrap align=right>73,847 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-19, Class SJ, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>1,580,424 </TD>
     <TD noWrap align=right>89,164 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-23, Class ST, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>1,755,714 </TD>
     <TD noWrap align=right>96,081 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-9, Class CI, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>2,202,292 </TD>
     <TD noWrap align=right>113,638 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-7, Class EI, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>993,533 </TD>
     <TD noWrap align=right>56,061 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-7, Class JI, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>2,320,564 </TD>
     <TD noWrap align=right>121,830 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-1, Class S, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>2,056,247 </TD>
     <TD noWrap align=right>116,392 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-3, Class SA, IO, 5.693s, 2037 </TD>
     <TD noWrap align=right>1,965,967 </TD>
     <TD noWrap align=right>110,932 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-17, Class S, IO, 5.673s, 2035 </TD>
     <TD noWrap align=right>933,381 </TD>
     <TD noWrap align=right>55,975 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-48, Class SB, IO, 5.61s, 2037 </TD>
     <TD noWrap align=right>1,254,274 </TD>
     <TD noWrap align=right>78,536 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-3, Class SN, IO, 5.593s, 2035 </TD>
     <TD noWrap align=right>4,323,333 </TD>
     <TD noWrap align=right>314,455 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-74, Class SI, IO, 5.53s, 2037 </TD>
     <TD noWrap align=right>982,508 </TD>
     <TD noWrap align=right>50,904 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-17, Class AI, IO, 5.51s, 2037 </TD>
     <TD noWrap align=right>4,203,185 </TD>
     <TD noWrap align=right>318,131 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 04-41, Class SG, IO, 5.493s, 2034 </TD>
     <TD noWrap align=right>2,452,124 </TD>
     <TD noWrap align=right>135,940 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-78, Class SA, IO, 5.49s, 2037 </TD>
     <TD noWrap align=right>6,315,252 </TD>
     <TD noWrap align=right>418,404 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-2, Class SM, IO, 5.46s, 2038 </TD>
     <TD noWrap align=right>2,389,491 </TD>
     <TD noWrap align=right>156,564 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-9, Class AI, IO, 5.46s, 2037 </TD>
     <TD noWrap align=right>2,151,518 </TD>
     <TD noWrap align=right>140,096 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 08-40, Class SA, IO, 5.36s, 2038 </TD>
     <TD noWrap align=right>9,968,366 </TD>
     <TD noWrap align=right>700,278 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 05-71, Class SA, IO, 5.32s, 2035 </TD>
     <TD noWrap align=right>3,480,159 </TD>
     <TD noWrap align=right>251,045 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-25, Class KS, IO, 5.16s, 2037 </TD>
     <TD noWrap align=right>2,024,022 </TD>
     <TD noWrap align=right>162,610 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-21, Class S, IO, 5.16s, 2037 </TD>
     <TD noWrap align=right>74,654 </TD>
     <TD noWrap align=right>4,404 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-31, Class AI, IO, 5.14s, 2037 </TD>
     <TD noWrap align=right>1,107,879 </TD>
     <TD noWrap align=right>82,144 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-62, Class S, IO, 5.11s, 2037 </TD>
     <TD noWrap align=right>1,093,158 </TD>
     <TD noWrap align=right>63,425 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-43, Class SC, IO, 5.06s, 2037 </TD>
     <TD noWrap align=right>1,429,581 </TD>
     <TD noWrap align=right>86,377 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-71, Class TA, zero %, 2037 </TD>
     <TD noWrap align=right>247,012 </TD>
     <TD noWrap align=right>237,382 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-71, Class UC, zero %, 2037 </TD>
     <TD noWrap align=right>63,871 </TD>
     <TD noWrap align=right>64,773 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-61, Class YC, zero %, 2037 </TD>
     <TD noWrap align=right>455,456 </TD>
     <TD noWrap align=right>433,371 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-33, Class TB, zero %, 2037 </TD>
     <TD noWrap align=right>434,522 </TD>
     <TD noWrap align=right>415,020 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-6, Class TD, zero %, 2037 </TD>
     <TD noWrap align=right>427,807 </TD>
     <TD noWrap align=right>410,878 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 98-2, Class EA, PO, zero %, 2028 </TD>
     <TD noWrap align=right>53,875 </TD>
     <TD noWrap align=right>44,530 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GS Mortgage Securities Corp. II </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-GG10, Class A3, 5.799s, 2045 </TD>
     <TD noWrap align=right>334,000 </TD>
     <TD noWrap align=right>223,574 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-GG6, Class A2, 5.506s, 2038 </TD>
     <TD noWrap align=right>643,000 </TD>
     <TD noWrap align=right>563,780 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2035 (Cayman Islands) </TD>
     <TD noWrap align=right>81,016 </TD>
     <TD noWrap align=right>1,620 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.129s, 2037 </TD>
     <TD noWrap align=right>3,482,624 </TD>
     <TD noWrap align=right>1,567,181 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>0.581s, 2037 </TD>
     <TD noWrap align=right>329,210 </TD>
     <TD noWrap align=right>222,590 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IndyMac Indx Mortgage Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_6"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-AR25, Class 5A1, 6.281s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>769,635 </TD>
     <TD noWrap align=right>356,914 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-AR15, Class 1A1, 6.161s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>978,092 </TD>
     <TD noWrap align=right>420,580 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-AR9, Class 2A1, 5.921s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>995,537 </TD>
     <TD noWrap align=right>447,992 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-AR31, Class 3A1, 5.601s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,767,432 </TD>
     <TD noWrap align=right>1,466,739 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-AR11, Class 1A1, 5.584s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,250,854 </TD>
     <TD noWrap align=right>575,393 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Alternative Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-A1, Class 5A1, 5.939s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>691,661 </TD>
     <TD noWrap align=right>331,997 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-A6, Class 1A1, 0.631s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,197,706 </TD>
     <TD noWrap align=right>520,358 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Chase Commercial Mortgage Securities Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-LD12, Class AM, 6.062s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>617,000 </TD>
     <TD noWrap align=right>267,641 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-LD12, Class A3, 5.99s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,365,000 </TD>
     <TD noWrap align=right>1,566,305 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-CB20, Class A3, 5.863s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>834,000 </TD>
     <TD noWrap align=right>545,646 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-LD11, Class A3, 5.819s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>417,000 </TD>
     <TD noWrap align=right>248,522 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-CB20, Class A4, 5.794s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>191,000 </TD>
     <TD noWrap align=right>135,730 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 08-C2, Class X, IO, 0.483s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>30,094,328 </TD>
     <TD noWrap align=right>394,236 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Chase Commercial Mortgage Securities Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>144A Ser. 07-CB20, Class X1, IO, 0.074s, 2051 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>63,629,924 </TD>
     <TD noWrap align=right>534,491 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class G, 6.41s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>253,101 </TD>
     <TD noWrap align=right>114,805 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>LB-UBS Commercial Mortgage Trust Ser. 07-C7, Class XW, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IO, 0.373s, 2045 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>61,447,849 </TD>
     <TD noWrap align=right>868,209 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class XCL, IO, 0.092s, 2045 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>25,940,006 </TD>
     <TD noWrap align=right>207,907 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lehman Mortgage Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-5, Class 4A3, 37.253s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>721,987 </TD>
     <TD noWrap align=right>768,917 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-5, Class 8A2, IO, 7.249s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,236,840 </TD>
     <TD noWrap align=right>100,801 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-4, Class 3A2, IO, 6.729s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,025,428 </TD>
     <TD noWrap align=right>80,394 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-5, Class 2A2, IO, 6.679s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,779,502 </TD>
     <TD noWrap align=right>131,238 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-2, Class 2A13, IO, 6.219s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,998,238 </TD>
     <TD noWrap align=right>148,619 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-9, Class 2A2, IO, 6.149s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,308,821 </TD>
     <TD noWrap align=right>174,645 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-7, Class 2A4, IO, 6.079s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,942,203 </TD>
     <TD noWrap align=right>280,783 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-7, Class 2A5, IO, 6.079s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,705,212 </TD>
     <TD noWrap align=right>263,894 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-6, Class 1A2, IO, 6.029s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,521,415 </TD>
     <TD noWrap align=right>106,499 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 06-6, Class 1A3, IO, 6.029s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,246,591 </TD>
     <TD noWrap align=right>157,261 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mach One Commercial Mortgage Trust 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class J, 5.45s, 2040 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>594,000 </TD>
     <TD noWrap align=right>59,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class K, 5.45s, 2040 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>212,000 </TD>
     <TD noWrap align=right>19,080 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class L, 5.45s, 2040 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>96,000 </TD>
     <TD noWrap align=right>7,680 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MASTR Alternative Loans Trust Ser. 06-3, Class 1A1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 1/4s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>614,745 </TD>
     <TD noWrap align=right>330,618 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Merrill Lynch Capital Funding Corp. Ser. 06-4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class XC, IO, 0.124s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>56,530,361 </TD>
     <TD noWrap align=right>406,330 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class JS, IO, 2.271s, 2028 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,223,822 </TD>
     <TD noWrap align=right>42,919 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.829s, 2050 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>222,000 </TD>
     <TD noWrap align=right>144,111 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Merrill Lynch/Countrywide Commercial Mortgage Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-8, Class A2, 5.92s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>402,000 </TD>
     <TD noWrap align=right>261,675 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mezz Cap Commercial Mortgage Trust Ser. 07-C5, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class X, 4.506s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,499,883 </TD>
     <TD noWrap align=right>366,983 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class X, IO, 7.795s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>974,412 </TD>
     <TD noWrap align=right>128,489 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Morgan Stanley Capital I </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 98-CF1, Class E, 7.35s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,252,000 </TD>
     <TD noWrap align=right>701,986 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 08-T29, Class A3, 6.28s, 2043 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>712,000 </TD>
     <TD noWrap align=right>594,022 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-IQ14, Class AM, 5.691s, 2049 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>247,000 </TD>
     <TD noWrap align=right>118,258 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Morgan Stanley Capital I 144A FRB Ser. 04-RR, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class F7, 6s, 2039 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,730,000 </TD>
     <TD noWrap align=right>138,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class 2A1, 4.807s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,089,227 </TD>
     <TD noWrap align=right>588,183 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mortgage Capital Funding, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 98-MC2, Class E, 7.094s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>327,112 </TD>
     <TD noWrap align=right>196,267 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 97-MC2, Class X, IO, 1.73s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,870 </TD>
     <TD noWrap align=right>1 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.833s, 2033 (United Kingdom) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>170,000 </TD>
     <TD noWrap align=right>151,130 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class J, 6 5/8s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>123,000 </TD>
     <TD noWrap align=right>35,410 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Residential Asset Securitization Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-A3, Class 2A2, IO, 6.219s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,570,364 </TD>
     <TD noWrap align=right>308,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-A5, Class 2A3, 6s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>877,556 </TD>
     <TD noWrap align=right>482,656 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Residential Mortgage Securities 144A FRB Ser. 20A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class B1A, 5.151s, 2038 (United Kingdom) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>103,440 </TD>
     <TD noWrap align=right>15,086 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$303,000 </TD>
     <TD noWrap align=right>215,104 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>STRIPS 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>162,000 </TD>
     <TD noWrap align=right>89,100 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>193,000 </TD>
     <TD noWrap align=right>98,430 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>174,000 </TD>
     <TD noWrap align=right>85,260 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>167,000 </TD>
     <TD noWrap align=right>68,470 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Structured Adjustable Rate Mortgage Loan Trust FRB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-9, Class 1A1, 5.691s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>936,582 </TD>
     <TD noWrap align=right>465,833 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Structured Asset Securities Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IFB Ser. 07-4, Class 1A3, IO, 5.779s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,417,043 </TD>
     <TD noWrap align=right>230,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-4, Class 1A4, IO, 1s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,729,030 </TD>
     <TD noWrap align=right>126,180 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Structured Asset Securities Corp. 144A Ser. 07-RF1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class 1A, IO, 4.386s, 2037 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,605,315 </TD>
     <TD noWrap align=right>276,319 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Titan Europe PLC 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>226,682 </TD>
     <TD noWrap align=right>245,465 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>444,023 </TD>
     <TD noWrap align=right>290,646 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>URSUS EPC 144A FRB Ser. 1-A, Class D, 6.938s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Ireland) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>239,524 </TD>
     <TD noWrap align=right>209,593 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wachovia Bank Commercial Mortgage Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-C30, Class A3, 5.246s, 2043 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$5,030,000 </TD>
     <TD noWrap align=right>3,759,631 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 07-C34, IO, 0.356s, 2046 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>16,922,063 </TD>
     <TD noWrap align=right>264,492 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>05-WL5A, Class L, 4.495s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>477,000 </TD>
     <TD noWrap align=right>286,200 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_7"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wells Fargo Mortgage Backed Securities Trust Ser. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>05-AR13, Class 1A4, IO, 0.742s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>9,439,637 </TD>
     <TD noWrap align=right>103,251 </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total collateralized mortgage obligations (cost $130,426,817)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$107,304,650</B> </TD></TR>
<TR>
     <TD colSpan=4></TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>CORPORATE BONDS AND NOTES (22.5%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Basic materials (1.4%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Builders FirstSource, Inc. company guaranty sr. sec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes FRN 6.399s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$270,000 </TD>
     <TD noWrap align=right>$87,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Compass Minerals International, Inc. sr. disc. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 12s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>142,000 </TD>
     <TD noWrap align=right>142,355 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>145,000 </TD>
     <TD noWrap align=right>123,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 3/8s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>841,000 </TD>
     <TD noWrap align=right>691,723 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 1/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>422,000 </TD>
     <TD noWrap align=right>362,920 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Georgia-Pacific Corp. debs. 9 1/2s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>49,000 </TD>
     <TD noWrap align=right>46,305 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Georgia-Pacific Corp. notes 8 1/8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>55,000 </TD>
     <TD noWrap align=right>51,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>358,000 </TD>
     <TD noWrap align=right>361,580 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ULC company guaranty 9 3/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>64,000 </TD>
     <TD noWrap align=right>18,240 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Huntsman International, LLC company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. sub. notes 7 7/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>921,000 </TD>
     <TD noWrap align=right>492,735 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Momentive Performance Materials, Inc. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sr. unsec. notes 9 3/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>262,000 </TD>
     <TD noWrap align=right>111,350 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>224,000 </TD>
     <TD noWrap align=right>179,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>136,000 </TD>
     <TD noWrap align=right>111,520 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NewPage Corp. company guaranty 10s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>376,000 </TD>
     <TD noWrap align=right>165,440 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NewPage Holding Corp. sr. unsec. unsub. notes FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>10.265s, 2013 (PIK) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>82,893 </TD>
     <TD noWrap align=right>12,434 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Norske Skog Canada, Ltd. company guaranty Ser. D, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 5/8s, 2011 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>15,000 </TD>
     <TD noWrap align=right>6,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Novelis, Inc. company guaranty 7 1/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>113,000 </TD>
     <TD noWrap align=right>65,540 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rockwood Specialties Group, Inc. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 5/8s, 2014 </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>200,000 </TD>
     <TD noWrap align=right>189,842 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Steel Dynamics, Inc. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsub. notes 6 3/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$830,000 </TD>
     <TD noWrap align=right>572,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>164,000 </TD>
     <TD noWrap align=right>113,570 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Stone Container Corp. sr. notes 8 3/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>240,000 </TD>
     <TD noWrap align=right>39,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>3,946,354</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Capital goods (1.5%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>104,000 </TD>
     <TD noWrap align=right>93,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Berry Plastics Corp. company guaranty sr. sec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 9.503s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>535,000 </TD>
     <TD noWrap align=right>369,150 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bombardier, Inc. 144A sr. unsec. notes FRN 7.37s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>100,000 </TD>
     <TD noWrap align=right>98,805 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,625,000 </TD>
     <TD noWrap align=right>1,442,188 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Crown Americas, LLC/Crown Americas Capital Corp. sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 7 5/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>516,000 </TD>
     <TD noWrap align=right>510,840 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>General Cable Corp. company guaranty sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 6.258s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>190,000 </TD>
     <TD noWrap align=right>88,825 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hawker Beechcraft Acquisition Co., LLC sr. sub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 3/4s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>227,000 </TD>
     <TD noWrap align=right>61,290 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hexcel Corp. sr. sub. notes 6 3/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>67,000 </TD>
     <TD noWrap align=right>50,920 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>L-3 Communications Corp. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sub. notes 6 1/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>607,000 </TD>
     <TD noWrap align=right>550,853 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>574,000 </TD>
     <TD noWrap align=right>516,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ryerson Tull, Inc. 144A sec. notes 12 1/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>409,000 </TD>
     <TD noWrap align=right>252,558 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>4,035,629</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Communication services (2.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>American Tower Corp. 144A sr. notes 7s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=right>347,100 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CCH I Holdings, LLC company guaranty 12 1/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>8,000 </TD>
     <TD noWrap align=right>640 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CCH II, LLC sr. unsec. notes 10 1/4s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>59,000 </TD>
     <TD noWrap align=right>27,140 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>772,000 </TD>
     <TD noWrap align=right>339,680 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cincinnati Bell, Inc. company guaranty 7s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>578,000 </TD>
     <TD noWrap align=right>442,170 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cricket Communications, Inc. company guaranty 9 3/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>435,000 </TD>
     <TD noWrap align=right>391,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cricket Communications, Inc. 144A company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 10s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>354,000 </TD>
     <TD noWrap align=right>323,910 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CSC Holdings, Inc. sr. notes 6 3/4s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>543,000 </TD>
     <TD noWrap align=right>496,845 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Jamaica) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>245,000 </TD>
     <TD noWrap align=right>159,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 (Jamaica) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>170,000 </TD>
     <TD noWrap align=right>144,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inmarsat Finance PLC company guaranty 10 3/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(United Kingdom) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>768,000 </TD>
     <TD noWrap align=right>680,640 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>iPCS, Inc. company guaranty sr. sec. notes FRN 5.318s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=right>99,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MetroPCS Wireless, Inc. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 9 1/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>90,000 </TD>
     <TD noWrap align=right>80,550 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PAETEC Holding Corp. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsub. notes 9 1/2s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>150,000 </TD>
     <TD noWrap align=right>89,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Qwest Communications International, Inc. company </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>guaranty 7 1/2s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>353,000 </TD>
     <TD noWrap align=right>252,395 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Qwest Corp. sr. unsec. notes 7 1/2s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>75,000 </TD>
     <TD noWrap align=right>62,250 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_8"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 </TD>
     <TD noWrap align=right>1,501,000 </TD>
     <TD noWrap align=right>1,388,425 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rainbow National Services, LLC 144A sr. notes 8 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=right>383,000 </TD>
     <TD noWrap align=right>344,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>West Corp. company guaranty 9 1/2s, 2014 </TD>
     <TD noWrap align=right>129,000 </TD>
     <TD noWrap align=right>70,950 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>5,741,295</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Consumer cyclicals (4.8%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Affinity Group, Inc. sr. sub. notes 9s, 2012 </TD>
     <TD noWrap align=right>545,000 </TD>
     <TD noWrap align=right>305,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AMC Entertainment, Inc. company guaranty 11s, 2016 </TD>
     <TD noWrap align=right>251,000 </TD>
     <TD noWrap align=right>175,386 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AMC Entertainment, Inc. sr. sub. notes 8s, 2014 </TD>
     <TD noWrap align=right>205,000 </TD>
     <TD noWrap align=right>126,075 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Avis Budget Car Rental, LLC company guaranty 7 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2016 </TD>
     <TD noWrap align=right>285,000 </TD>
     <TD noWrap align=right>82,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>160,000 </TD>
     <TD noWrap align=right>19,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 </TD>
     <TD noWrap align=right>134,000 </TD>
     <TD noWrap align=right>84,420 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CanWest Media, Inc. company guaranty 8s, 2012 (Canada) </TD>
     <TD noWrap align=right>337,021 </TD>
     <TD noWrap align=right>148,289 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cenveo Corp. 144A company guaranty sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>10 1/2s, 2016 </TD>
     <TD noWrap align=right>235,000 </TD>
     <TD noWrap align=right>136,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cinemark, Inc. sr. unsec. disc. notes stepped-coupon </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>zero % (9 3/4s, 3/15/09), 2014 (STP) </TD>
     <TD noWrap align=right>28,000 </TD>
     <TD noWrap align=right>22,645 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Clear Channel Communications, Inc. sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7.65s, 2010 </TD>
     <TD noWrap align=right>556,000 </TD>
     <TD noWrap align=right>322,480 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Clear Channel Communications, Inc. sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5 1/2s, 2014 </TD>
     <TD noWrap align=right>58,000 </TD>
     <TD noWrap align=right>6,960 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>D.R. Horton, Inc. company guaranty 8s, 2009 </TD>
     <TD noWrap align=right>183,000 </TD>
     <TD noWrap align=right>181,628 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>D.R. Horton, Inc. company guaranty sr. unsub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5s, 2009 </TD>
     <TD noWrap align=right>253,000 </TD>
     <TD noWrap align=right>251,735 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>D.R. Horton, Inc. sr. notes 7 7/8s, 2011 </TD>
     <TD noWrap align=right>765,000 </TD>
     <TD noWrap align=right>612,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 </TD>
     <TD noWrap align=right>938,000 </TD>
     <TD noWrap align=right>865,305 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DirecTV Holdings, LLC company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 7 5/8s, 2016 </TD>
     <TD noWrap align=right>117,000 </TD>
     <TD noWrap align=right>113,490 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Echostar DBS Corp. company guaranty 6 5/8s, 2014 </TD>
     <TD noWrap align=right>1,369,000 </TD>
     <TD noWrap align=right>1,143,115 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FelCor Lodging LP company guaranty 8 1/2s, 2011 (R) </TD>
     <TD noWrap align=right>515,000 </TD>
     <TD noWrap align=right>381,100 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011 </TD>
     <TD noWrap align=right>621,000 </TD>
     <TD noWrap align=right>468,855 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2010 </TD>
     <TD noWrap align=right>444,000 </TD>
     <TD noWrap align=right>364,080 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009 </TD>
     <TD noWrap align=right>195,000 </TD>
     <TD noWrap align=right>171,253 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico) </TD>
     <TD noWrap align=right>460,000 </TD>
     <TD noWrap align=right>386,814 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hanesbrands, Inc. company guaranty sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN Ser. B, 5.698s, 2014 </TD>
     <TD noWrap align=right>60,000 </TD>
     <TD noWrap align=right>42,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) </TD>
     <TD noWrap align=right>725,000 </TD>
     <TD noWrap align=right>614,438 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Jostens IH Corp. company guaranty 7 5/8s, 2012 </TD>
     <TD noWrap align=right>600,000 </TD>
     <TD noWrap align=right>492,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>K. Hovnanian Enterprises, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sec. notes 11 1/2s, 2013 </TD>
     <TD noWrap align=right>187,000 </TD>
     <TD noWrap align=right>142,120 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lamar Media Corp. sr. unsec. sub. notes Ser. C, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 5/8s, 2015 </TD>
     <TD noWrap align=right>165,000 </TD>
     <TD noWrap align=right>119,213 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016 </TD>
     <TD noWrap align=right>285,000 </TD>
     <TD noWrap align=right>193,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Levi Strauss &amp; Co. sr. unsec. unsub. notes 9 3/4s, 2015 </TD>
     <TD noWrap align=right>651,000 </TD>
     <TD noWrap align=right>481,740 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Liberty Media, LLC sr. notes 5.7s, 2013 </TD>
     <TD noWrap align=right>138,000 </TD>
     <TD noWrap align=right>90,470 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009 </TD>
     <TD noWrap align=right>169,000 </TD>
     <TD noWrap align=right>164,879 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2015 </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=right>153,075 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Meritage Homes Corp. company guaranty 6 1/4s, 2015 </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=right>70,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Meritage Homes Corp. sr. notes 7s, 2014 </TD>
     <TD noWrap align=right>45,000 </TD>
     <TD noWrap align=right>25,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MGM Mirage, Inc. company guaranty 8 1/2s, 2010 </TD>
     <TD noWrap align=right>468,000 </TD>
     <TD noWrap align=right>393,120 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MGM Mirage, Inc. company guaranty 6s, 2009 </TD>
     <TD noWrap align=right>1,009,000 </TD>
     <TD noWrap align=right>963,595 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nielsen Finance LLC/Nielsen Finance Co. company </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>guaranty 10s, 2014 </TD>
     <TD noWrap align=right>186,000 </TD>
     <TD noWrap align=right>148,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nielsen Finance LLC/Nielsen Finance Co. company </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>guaranty sr. unsec. sub. disc notes stepped-coupon </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>zero % (12 1/2s, 8/1/11), 2016 (STP) </TD>
     <TD noWrap align=right>360,000 </TD>
     <TD noWrap align=right>130,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NTK Holdings, Inc. sr. unsec. disc. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>stepped-coupon zero % (10 3/4s, 9/1/09), 2014 (STP) </TD>
     <TD noWrap align=right>104,000 </TD>
     <TD noWrap align=right>22,360 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Oxford Industries, Inc. sr. notes 8 7/8s, 2011 </TD>
     <TD noWrap align=right>460,000 </TD>
     <TD noWrap align=right>347,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pinnacle Entertainment, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. sub. notes 7 1/2s, 2015 </TD>
     <TD noWrap align=right>320,000 </TD>
     <TD noWrap align=right>185,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=right>337,000 </TD>
     <TD noWrap align=right>256,120 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pulte Homes, Inc. company guaranty 7 7/8s, 2011 </TD>
     <TD noWrap align=right>730,000 </TD>
     <TD noWrap align=right>631,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2016 (Canada) </TD>
     <TD noWrap align=right>75,000 </TD>
     <TD noWrap align=right>50,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 </TD>
     <TD noWrap align=right>75,000 </TD>
     <TD noWrap align=right>44,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Station Casinos, Inc. sr. notes 6s, 2012 </TD>
     <TD noWrap align=right>318,000 </TD>
     <TD noWrap align=right>63,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Tenneco, Inc. sr. unsec. notes company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 1/8s, 2015 </TD>
     <TD noWrap align=right>375,000 </TD>
     <TD noWrap align=right>172,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 10s, 2013 </TD>
     <TD noWrap align=right>115,000 </TD>
     <TD noWrap align=right>78,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 8 1/2s, 2014 </TD>
     <TD noWrap align=right>255,000 </TD>
     <TD noWrap align=right>58,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Toll Brothers, Inc. company guaranty sr. unsec. sub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 8 1/4s, 2011 </TD>
     <TD noWrap align=right>625,000 </TD>
     <TD noWrap align=right>575,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2015 (In default) </TD>
     <TD noWrap align=right>220,000 </TD>
     <TD noWrap align=right>29,150 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Vertis, Inc. company guaranty sr. notes zero %, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(F)(PIK) </TD>
     <TD noWrap align=right>217,715 </TD>
     <TD noWrap align=right>17,417 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Young Broadcasting, Inc. company guaranty 10s, 2011 </TD>
     <TD noWrap align=right>239,000 </TD>
     <TD noWrap align=right>2,390 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 </TD>
     <TD noWrap align=right>83,000 </TD>
     <TD noWrap align=right>830 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>13,130,122</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Consumer staples (0.7%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Archibald Candy Corp. company guaranty 10s, 2009 (In </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>default) (F)(NON) </TD>
     <TD noWrap align=right>90,153 </TD>
     <TD noWrap align=right>1,392 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dean Foods Co. company guaranty 7s, 2016 </TD>
     <TD noWrap align=right>134,000 </TD>
     <TD noWrap align=right>113,900 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Del Monte Corp. sr. sub. notes 8 5/8s, 2012 </TD>
     <TD noWrap align=right>560,000 </TD>
     <TD noWrap align=right>543,200 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_9"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>321,000 </TD>
     <TD noWrap align=right>295,320 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rite Aid Corp. company guaranty 9 1/2s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>277,000 </TD>
     <TD noWrap align=right>96,258 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rite Aid Corp. sec. notes 7 1/2s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>315,000 </TD>
     <TD noWrap align=right>204,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=right>296,982 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United Rentals NA, Inc. company guaranty 6 1/2s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>355,000 </TD>
     <TD noWrap align=right>280,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>1,832,252</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Energy (2.9%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Arch Western Finance, LLC sr. notes 6 3/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,347,000 </TD>
     <TD noWrap align=right>1,171,890 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Chaparral Energy, Inc. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 8 7/8s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>320,000 </TD>
     <TD noWrap align=right>64,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,031,000 </TD>
     <TD noWrap align=right>886,660 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Chesapeake Energy Corp. sr. notes 7s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>279,000 </TD>
     <TD noWrap align=right>231,570 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Complete Production Services, Inc. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>515,000 </TD>
     <TD noWrap align=right>324,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Comstock Resources, Inc. sr. notes 6 7/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>510,000 </TD>
     <TD noWrap align=right>392,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2015 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>210,000 </TD>
     <TD noWrap align=right>84,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>315,000 </TD>
     <TD noWrap align=right>223,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Forest Oil Corp. sr. notes 8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>540,000 </TD>
     <TD noWrap align=right>492,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Gaz Capital SA 144A company guaranty sr. unsec. bond </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.146s, 2018 (Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>176,000 </TD>
     <TD noWrap align=right>125,085 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Gaz Capital SA 144A company guaranty sr. unsec. bond </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7.343s, 2013 (Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>166,000 </TD>
     <TD noWrap align=right>131,328 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Harvest Operations Corp. sr. notes 7 7/8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>584,000 </TD>
     <TD noWrap align=right>420,480 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Helix Energy Solutions Group, Inc. 144A sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 9 1/2s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=right>206,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hornbeck Offshore Services, Inc. sr. notes Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 1/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>517,000 </TD>
     <TD noWrap align=right>336,050 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Key Energy Services, Inc. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsub. notes 8 3/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>180,000 </TD>
     <TD noWrap align=right>118,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lukoil International Finance 144A company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.356s, 2017 (Netherlands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>420,000 </TD>
     <TD noWrap align=right>262,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>348,000 </TD>
     <TD noWrap align=right>285,360 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Offshore Logistics, Inc. company guaranty 6 1/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>295,000 </TD>
     <TD noWrap align=right>212,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>273,927 </TD>
     <TD noWrap align=right>280,498 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pacific Energy Partners/Pacific Energy Finance Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sr. notes 7 1/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>355,000 </TD>
     <TD noWrap align=right>310,070 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PetroHawk Energy Corp. company guaranty 9 1/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>169,000 </TD>
     <TD noWrap align=right>136,890 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PetroHawk Energy Corp. 144A sr. unsec. unsub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 7/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=right>103,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Petroleum Development Corp. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. notes 12s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>215,000 </TD>
     <TD noWrap align=right>134,375 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Bermuda) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>355,000 </TD>
     <TD noWrap align=right>225,425 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Plains Exploration &amp; Production Co. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 3/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>70,000 </TD>
     <TD noWrap align=right>52,850 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Plains Exploration &amp; Production Co. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>80,000 </TD>
     <TD noWrap align=right>54,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>451,000 </TD>
     <TD noWrap align=right>419,430 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>SandRidge Energy, Inc. sr. notes 8s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>310,000 </TD>
     <TD noWrap align=right>172,050 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>150,000 </TD>
     <TD noWrap align=right>138,188 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>7,998,549</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Financials (4.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Banco Do Brasil 144A sr. unsec. 4.157s, 2017 (Cayman </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Islands) </TD>
     <TD noWrap align=left>BRL </TD>
     <TD noWrap align=right>536,000 </TD>
     <TD noWrap align=right>177,057 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bosphorus Financial Services, Ltd. 144A sec. sr. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 3.949s, 2012 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,174,063 </TD>
     <TD noWrap align=right>999,411 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes 7 3/4s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>90,000 </TD>
     <TD noWrap align=right>80,270 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes 7s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>40,000 </TD>
     <TD noWrap align=right>31,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes 6 7/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>637,000 </TD>
     <TD noWrap align=right>483,021 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes 6 7/8s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>85,000 </TD>
     <TD noWrap align=right>68,819 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes 6 5/8s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>810,000 </TD>
     <TD noWrap align=right>623,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GMAC, LLC 144A sr. unsec. unsub. notes FRN 4.403s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>64,000 </TD>
     <TD noWrap align=right>35,840 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HUB International Holdings, Inc. 144A sr. sub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>10 1/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>95,000 </TD>
     <TD noWrap align=right>41,919 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HUB International Holdings, Inc. 144A sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsub. notes 9s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>65,000 </TD>
     <TD noWrap align=right>39,731 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2009 (R) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>100,000 </TD>
     <TD noWrap align=right>90,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Chase &amp; Co. 144A sr. unsec. FRN 6.46s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,000,000 </TD>
     <TD noWrap align=right>629,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Chase &amp; Co. 144A sr. unsec. notes FRN 0.227s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2011 </TD>
     <TD noWrap align=left>RUB </TD>
     <TD noWrap align=right>22,000,000 </TD>
     <TD noWrap align=right>507,760 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes 0.159s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=left>INR </TD>
     <TD noWrap align=right>19,000,000 </TD>
     <TD noWrap align=right>345,206 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lender Processing Services, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. unsub. notes 8 1/8s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$795,000 </TD>
     <TD noWrap align=right>708,544 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>100,000 </TD>
     <TD noWrap align=right>80,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>252,000 </TD>
     <TD noWrap align=right>187,110 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Merrill Lynch &amp; Co., Inc. notes FRN Ser. MTN, 3.735s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>365,000 </TD>
     <TD noWrap align=right>323,235 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Morgan Stanley sr. unsec. bonds 4.302s, 2017 </TD>
     <TD noWrap align=left>BRL </TD>
     <TD noWrap align=right>1,850,000 </TD>
     <TD noWrap align=right>492,063 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>RSHB Capital SA for OJSC Russian Agricultural Bank </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 6.299s, 2017 (Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$675,000 </TD>
     <TD noWrap align=right>384,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>RSHB Capital SA for OJSC Russian Agricultural Bank </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sub. bonds FRB 6.97s, 2016 (Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>250,000 </TD>
     <TD noWrap align=right>145,708 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>UBS Luxembourg SA for Sberbank sec. sub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>stepped-coupon 6.23s (7.429s, 2/11/10), 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Luxembourg) (STP) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,400,000 </TD>
     <TD noWrap align=right>1,006,138 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>USI Holdings Corp. 144A sr. unsec. notes FRN 6.024s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>60,000 </TD>
     <TD noWrap align=right>24,375 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,925,000 </TD>
     <TD noWrap align=right>1,597,750 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_10"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>VTB Capital SA 144A sec. notes 6.609s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Luxembourg) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,025,000 </TD>
     <TD noWrap align=right>1,395,428 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>VTB Capital SA (Vneshtorgbank) loan participation sec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 6.315s (7.815s, 2/4/10), 2015 (Luxembourg) (STP) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,090,000 </TD>
     <TD noWrap align=right>657,335 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>11,157,370</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Government (0.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>152,250 </TD>
     <TD noWrap align=right>153,191 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>153,191</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Health care (2.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Community Health Systems, Inc. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 7/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>665,000 </TD>
     <TD noWrap align=right>611,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DaVita, Inc. company guaranty 6 5/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>153,000 </TD>
     <TD noWrap align=right>145,350 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Elan Finance PLC/Elan Finance Corp. company guaranty </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 3/4s, 2011 (Ireland) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>205,000 </TD>
     <TD noWrap align=right>121,975 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HCA, Inc. sr. sec. notes 9 1/4s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>645,000 </TD>
     <TD noWrap align=right>591,788 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HCA, Inc. sr. sec. notes 9 1/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>282,000 </TD>
     <TD noWrap align=right>261,555 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HCA, Inc. sr. unsec. notes 6 3/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>212,000 </TD>
     <TD noWrap align=right>129,320 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>HCA, Inc. sr. unsec. notes 5 3/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>260,000 </TD>
     <TD noWrap align=right>157,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Omnicare, Inc. company guaranty 6 3/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>195,000 </TD>
     <TD noWrap align=right>165,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>545,000 </TD>
     <TD noWrap align=right>457,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Select Medical Corp. company guaranty 7 5/8s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>547,000 </TD>
     <TD noWrap align=right>289,910 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>724,000 </TD>
     <TD noWrap align=right>555,670 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Surgical Care Affiliates, Inc. 144A sr. sub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>10s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=right>156,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Surgical Care Affiliates, Inc. 144A sr. unsec. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 7/8s, 2015 (PIK) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>110,000 </TD>
     <TD noWrap align=right>67,100 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Tenet Healthcare Corp. sr. unsec. notes 7 3/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=right>277,875 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>571,000 </TD>
     <TD noWrap align=right>441,098 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>US Oncology, Inc. company guaranty 9s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>485,000 </TD>
     <TD noWrap align=right>441,350 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>491,000 </TD>
     <TD noWrap align=right>409,985 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ventas Realty LP/Capital Corp. company guaranty 9s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 (R) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>305,000 </TD>
     <TD noWrap align=right>271,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(R) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>173,000 </TD>
     <TD noWrap align=right>131,480 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>5,684,556</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Technology (1.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>334,000 </TD>
     <TD noWrap align=right>146,960 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ceridian Corp. 144A sr. unsec. notes 11 1/2s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>275,000 </TD>
     <TD noWrap align=right>146,094 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>155,000 </TD>
     <TD noWrap align=right>104,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freescale Semiconductor, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. notes 8 7/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>552,000 </TD>
     <TD noWrap align=right>242,880 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freescale Semiconductor, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. sub. notes 10 1/8s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>384,000 </TD>
     <TD noWrap align=right>157,440 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freescale Semiconductor, Inc. company guaranty sr. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>unsec. notes 9 1/8s, 2014 (PIK) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>383,000 </TD>
     <TD noWrap align=right>88,090 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Iron Mountain, Inc. company guaranty 8 5/8s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>700,000 </TD>
     <TD noWrap align=right>658,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Iron Mountain, Inc. company guaranty sr. unsec. sub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 8s, 2020 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>470,000 </TD>
     <TD noWrap align=right>377,175 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,000 </TD>
     <TD noWrap align=right>1,365 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nortel Networks, Ltd. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 10 3/4s, 2016 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>215,000 </TD>
     <TD noWrap align=right>56,975 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nortel Networks, Ltd. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes FRN 9.003s, 2011 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>235,000 </TD>
     <TD noWrap align=right>58,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nortel Networks, Ltd. 144A sr. unsecd. notes company </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>guaranty 10 3/4s, 2016 (Canada) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>420,000 </TD>
     <TD noWrap align=right>111,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sanmina Corp. company guaranty sr. unsec. sub. notes </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 3/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>239,000 </TD>
     <TD noWrap align=right>102,770 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>372,000 </TD>
     <TD noWrap align=right>145,080 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>SunGard Data Systems, Inc. company guaranty 9 1/8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>340,000 </TD>
     <TD noWrap align=right>294,100 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Travelport LLC company guaranty 9 7/8s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>166,000 </TD>
     <TD noWrap align=right>62,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>219,000 </TD>
     <TD noWrap align=right>61,320 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Xerox Corp. sr. notes 9 3/4s, 2009 </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=right>194,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>3,009,924</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Utilities and power (1.7%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>130,000 </TD>
     <TD noWrap align=right>106,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AES Corp. (The) 144A sec. notes 8 3/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>235,000 </TD>
     <TD noWrap align=right>224,425 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CMS Energy Corp. sr. notes 7 3/4s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>180,000 </TD>
     <TD noWrap align=right>177,233 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>151,000 </TD>
     <TD noWrap align=right>134,390 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>172,000 </TD>
     <TD noWrap align=right>157,380 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Edison Mission Energy sr. unsec. notes 7.2s, 2019 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>275,000 </TD>
     <TD noWrap align=right>225,500 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Edison Mission Energy sr. unsec. notes 7s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>195,000 </TD>
     <TD noWrap align=right>169,650 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ferrellgas LP/Finance sr. notes 6 3/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>520,000 </TD>
     <TD noWrap align=right>358,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>115,000 </TD>
     <TD noWrap align=right>94,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Kinder Morgan, Inc. sr. notes 6 1/2s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,589,000 </TD>
     <TD noWrap align=right>1,338,733 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NRG Energy, Inc. sr. notes 7 3/8s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>235,000 </TD>
     <TD noWrap align=right>218,550 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>655,000 </TD>
     <TD noWrap align=right>655,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>224,000 </TD>
     <TD noWrap align=right>179,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Teco Finance, Inc. company guaranty sr. unsec. unsub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 7.2s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>185,000 </TD>
     <TD noWrap align=right>173,448 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Teco Finance, Inc. company guaranty sr. unsec. unsub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 7s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>280,000 </TD>
     <TD noWrap align=right>256,285 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Teco Finance, Inc. company guaranty sr. unsec. unsub. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 6 3/4s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>32,000 </TD>
     <TD noWrap align=right>26,230 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>18,000 </TD>
     <TD noWrap align=right>17,631 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_11"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Williams Partners LP/ Williams Partners Finance Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>sr. unsec. notes 7 1/4s, 2017 </TD>
     <TD noWrap align=right>145,000 </TD>
     <TD noWrap align=right>114,550 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>4,627,905</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total corporate bonds and notes (cost $83,179,623)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$61,317,147</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.4%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>U.S. Government Guaranteed Mortgage Obligations (0.8%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Government National Mortgage Association Pass-Through </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Certificates 6 1/2s, TBA, January 1, 2039 </TD>
     <TD noWrap align=right>$2,000,000 </TD>
     <TD noWrap align=right>$2,080,938 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>2,080,938</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>U.S. Government Agency Mortgage Obligations (20.6%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Federal National Mortgage Association Pass-Through </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Certificates </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 1/2s, TBA, January 1, 2039 </TD>
     <TD noWrap align=right>2,000,000 </TD>
     <TD noWrap align=right>2,078,438 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6s, TBA, January 1, 2024 </TD>
     <TD noWrap align=right>3,000,000 </TD>
     <TD noWrap align=right>3,115,781 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5 1/2s, TBA, January 1, 2039 </TD>
     <TD noWrap align=right>2,000,000 </TD>
     <TD noWrap align=right>2,051,875 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5 1/2s, TBA, January 1, 2024 </TD>
     <TD noWrap align=right>1,000,000 </TD>
     <TD noWrap align=right>1,030,234 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5s, TBA, January 1, 2039 </TD>
     <TD noWrap align=right>40,000,000 </TD>
     <TD noWrap align=right>40,875,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4 1/2s, TBA, February 1, 2039 </TD>
     <TD noWrap align=right>3,000,000 </TD>
     <TD noWrap align=right>3,030,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4 1/2s, TBA, January 1, 2039 </TD>
     <TD noWrap align=right>4,000,000 </TD>
     <TD noWrap align=right>4,058,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>56,240,078</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total U.S. government and agency mortgage obligations (cost $57,896,954)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$58,321,016</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>ASSET-BACKED SECURITIES (13.4%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Accredited Mortgage Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-1, Class M2, 1.161s, 2035 </TD>
     <TD noWrap align=right>118,091 </TD>
     <TD noWrap align=right>$20,075 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-4, Class A2C, 0.681s, 2035 </TD>
     <TD noWrap align=right>34,000 </TD>
     <TD noWrap align=right>27,880 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ace Securities Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-OP2, Class A2C, 0.621s, 2036 </TD>
     <TD noWrap align=right>107,000 </TD>
     <TD noWrap align=right>52,430 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-HE3, Class A2C, 0.621s, 2036 </TD>
     <TD noWrap align=right>115,000 </TD>
     <TD noWrap align=right>40,112 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class M2, 2.221s, 2033 </TD>
     <TD noWrap align=right>211,304 </TD>
     <TD noWrap align=right>12,678 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Arcap REIT, Inc. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 03-1A, Class E, 7.11s, 2038 </TD>
     <TD noWrap align=right>383,000 </TD>
     <TD noWrap align=right>145,540 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-1A, Class E, 6.42s, 2039 </TD>
     <TD noWrap align=right>361,000 </TD>
     <TD noWrap align=right>108,300 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argent Securities, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 03-W3, Class M3, 2.741s, 2033 </TD>
     <TD noWrap align=right>24,453 </TD>
     <TD noWrap align=right>489 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-W4, Class A2C, 0.631s, 2036 </TD>
     <TD noWrap align=right>204,000 </TD>
     <TD noWrap align=right>89,760 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Asset Backed Funding Certificates </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 04-OPT2, Class M2, 1.471s, 2033 </TD>
     <TD noWrap align=right>208,067 </TD>
     <TD noWrap align=right>95,711 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-WMC1, Class M1, 0.911s, 2035 </TD>
     <TD noWrap align=right>31,000 </TD>
     <TD noWrap align=right>18,910 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Asset Backed Securities Corp. Home Equity Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-HE2, Class A3, 0.661s, 2036 </TD>
     <TD noWrap align=right>37,031 </TD>
     <TD noWrap align=right>22,367 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-HE4, Class A5, 0.631s, 2036 </TD>
     <TD noWrap align=right>139,095 </TD>
     <TD noWrap align=right>80,675 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Aviation Capital Group Trust 144A FRB Ser. 03-2A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class G1, 1.208s, 2033 </TD>
     <TD noWrap align=right>246,768 </TD>
     <TD noWrap align=right>61,692 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bear Stearns Asset Backed Securities, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 04-FR3, Class M6, 3.721s, 2034 </TD>
     <TD noWrap align=right>210,745 </TD>
     <TD noWrap align=right>123,265 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-PC1, Class M9, 2.221s, 2035 </TD>
     <TD noWrap align=right>185,000 </TD>
     <TD noWrap align=right>1,850 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-HE1, Class M3, 1.401s, 2035 </TD>
     <TD noWrap align=right>223,000 </TD>
     <TD noWrap align=right>11,150 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bear Stearns Asset Backed Securities, Inc. 144A FRB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 06-HE2, Class M10, 2.721s, 2036 </TD>
     <TD noWrap align=right>111,434 </TD>
     <TD noWrap align=right>271 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bombardier Capital Mortgage Securitization Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-A, Class A4, 8.29s, 2030 </TD>
     <TD noWrap align=right>488,020 </TD>
     <TD noWrap align=right>202,233 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-A, Class A2, 7.575s, 2030 </TD>
     <TD noWrap align=right>1,297,676 </TD>
     <TD noWrap align=right>529,746 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-B, Class A4, 7.3s, 2016 </TD>
     <TD noWrap align=right>641,890 </TD>
     <TD noWrap align=right>243,434 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-B, Class A3, 7.18s, 2015 </TD>
     <TD noWrap align=right>1,080,239 </TD>
     <TD noWrap align=right>417,359 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 00-A, Class A1, 1.355s, 2030 </TD>
     <TD noWrap align=right>140,377 </TD>
     <TD noWrap align=right>23,565 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Capital Auto Receivables Asset Trust 144A Ser. 06-1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class D, 7.16s, 2013 </TD>
     <TD noWrap align=right>500,000 </TD>
     <TD noWrap align=right>377,637 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-OPT1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class M1, 0.891s, 2035 </TD>
     <TD noWrap align=right>47,073 </TD>
     <TD noWrap align=right>31,261 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Conseco Finance Securitizations Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-2, Class A5, 8.85s, 2030 </TD>
     <TD noWrap align=right>1,350,928 </TD>
     <TD noWrap align=right>768,933 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-4, Class A6, 8.31s, 2032 </TD>
     <TD noWrap align=right>3,216,845 </TD>
     <TD noWrap align=right>1,640,591 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-5, Class A7, 8.2s, 2032 </TD>
     <TD noWrap align=right>476,000 </TD>
     <TD noWrap align=right>252,280 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-1, Class A5, 8.06s, 2031 </TD>
     <TD noWrap align=right>916,526 </TD>
     <TD noWrap align=right>467,429 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-4, Class A5, 7.97s, 2032 </TD>
     <TD noWrap align=right>182,450 </TD>
     <TD noWrap align=right>93,050 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-5, Class A6, 7.96s, 2032 </TD>
     <TD noWrap align=right>640,007 </TD>
     <TD noWrap align=right>352,004 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-1, Class M1F, 7.954s, 2033 </TD>
     <TD noWrap align=right>44,000 </TD>
     <TD noWrap align=right>22,222 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-3, Class M2, 7.44s, 2033 </TD>
     <TD noWrap align=right>51,882 </TD>
     <TD noWrap align=right>2,647 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-4, Class A4, 7.36s, 2033 </TD>
     <TD noWrap align=right>192,369 </TD>
     <TD noWrap align=right>116,383 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-6, Class A5, 7.27s, 2031 </TD>
     <TD noWrap align=right>71,332 </TD>
     <TD noWrap align=right>43,512 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-1, Class A5, 6.99s, 2032 </TD>
     <TD noWrap align=right>4,187,002 </TD>
     <TD noWrap align=right>2,606,408 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-3, Class A4, 6.91s, 2033 </TD>
     <TD noWrap align=right>2,744,575 </TD>
     <TD noWrap align=right>1,772,543 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-1, Class A, 6.681s, 2033 </TD>
     <TD noWrap align=right>790,779 </TD>
     <TD noWrap align=right>635,603 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 02-1, Class M1A, 3.95s, 2033 </TD>
     <TD noWrap align=right>2,249,000 </TD>
     <TD noWrap align=right>680,634 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 01-4, Class M1, 3.65s, 2033 </TD>
     <TD noWrap align=right>295,000 </TD>
     <TD noWrap align=right>50,178 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Countrywide Asset Backed Certificates </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-BC3, Class M1, 0.991s, 2035 </TD>
     <TD noWrap align=right>47,000 </TD>
     <TD noWrap align=right>28,670 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-14, Class 3A2, 0.711s, 2036 </TD>
     <TD noWrap align=right>24,756 </TD>
     <TD noWrap align=right>20,424 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Cayman Islands) </TD>
     <TD noWrap align=right>431,000 </TD>
     <TD noWrap align=right>150,850 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DB Master Finance, LLC 144A Ser. 06-1, Class M1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.285s, 2031 </TD>
     <TD noWrap align=right>277,000 </TD>
     <TD noWrap align=right>178,587 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>1.141s, 2035 </TD>
     <TD noWrap align=right>92,000 </TD>
     <TD noWrap align=right>4,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>First Franklin Mortgage Loan Asset Backed Certificates </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-FF7, Class 2A3, 0.621s, 2036 </TD>
     <TD noWrap align=right>173,000 </TD>
     <TD noWrap align=right>69,477 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_12"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Fremont Home Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-E, Class 2A4, 0.801s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>244,000 </TD>
     <TD noWrap align=right>146,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-2, Class 2A3, 0.641s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>353,000 </TD>
     <TD noWrap align=right>197,680 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Gears Auto Owner Trust 144A Ser. 05-AA, Class E1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.22s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>687,000 </TD>
     <TD noWrap align=right>668,342 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Granite Mortgages PLC </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>688,016 </TD>
     <TD noWrap align=right>455,846 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom) </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>1,430,000 </TD>
     <TD noWrap align=right>1,786,942 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Green Tree Financial Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 94-6, Class B2, 9s, 2020 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$861,059 </TD>
     <TD noWrap align=right>680,237 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 94-4, Class B2, 8.6s, 2019 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>353,601 </TD>
     <TD noWrap align=right>208,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 93-1, Class B, 8.45s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>350,606 </TD>
     <TD noWrap align=right>261,026 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-5, Class A5, 7.86s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,893,720 </TD>
     <TD noWrap align=right>2,272,414 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 96-8, Class M1, 7.85s, 2027 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>387,000 </TD>
     <TD noWrap align=right>196,881 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 95-8, Class B1, 7.3s, 2026 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>362,579 </TD>
     <TD noWrap align=right>212,823 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 95-4, Class B1, 7.3s, 2025 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>371,800 </TD>
     <TD noWrap align=right>219,619 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 96-10, Class M1, 7.24s, 2028 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>41,000 </TD>
     <TD noWrap align=right>20,860 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 97-6, Class M1, 7.21s, 2029 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,087,000 </TD>
     <TD noWrap align=right>455,940 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 98-2, Class A6, 6.81s, 2027 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>385,271 </TD>
     <TD noWrap align=right>297,607 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-3, Class A7, 6.74s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>714,236 </TD>
     <TD noWrap align=right>567,436 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 6.53s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>178,088 </TD>
     <TD noWrap align=right>115,758 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-2, Class A7, 6.44s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>44,377 </TD>
     <TD noWrap align=right>26,763 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-1, Class A6, 6.37s, 2025 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>18,000 </TD>
     <TD noWrap align=right>13,722 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 98-4, Class A5, 6.18s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>449,369 </TD>
     <TD noWrap align=right>288,073 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-1, Class A5, 6.11s, 2023 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>182,118 </TD>
     <TD noWrap align=right>174,980 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Greenpoint Manufactured Housing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-3, Class IA, 8.45s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,622,287 </TD>
     <TD noWrap align=right>960,243 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-5, Class M1A, 8.3s, 2026 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>157,000 </TD>
     <TD noWrap align=right>78,173 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-5, Class A4, 7.59s, 2028 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>40,706 </TD>
     <TD noWrap align=right>34,450 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>365,777 </TD>
     <TD noWrap align=right>287,135 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GSAMP Trust FRB Ser. 06-HE5, Class A2C, 0.621s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>526,000 </TD>
     <TD noWrap align=right>247,799 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Guggenheim Structured Real Estate Funding, Ltd. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-2A, Class E, 2.471s, 2030 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>379,000 </TD>
     <TD noWrap align=right>56,850 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-1A, Class E, 2.271s, 2030 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>83,828 </TD>
     <TD noWrap align=right>33,531 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Home Equity Asset Trust FRB Ser. 06-1, Class 2A4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>0.801s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>122,000 </TD>
     <TD noWrap align=right>59,170 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class A4, 0.761s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>103,000 </TD>
     <TD noWrap align=right>58,710 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lehman ABS Manufactured Housing Contract Ser. 01-B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class A4, 5.27s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,132,788 </TD>
     <TD noWrap align=right>759,228 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 3.211s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2037 (Cayman Islands) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,260,000 </TD>
     <TD noWrap align=right>315,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Local Insight Media Finance, LLC Ser. 07-1W, Class A1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.53s, 2012 (F) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,704,411 </TD>
     <TD noWrap align=right>1,107,867 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Long Beach Mortgage Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-2, Class M4, 1.091s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>255,000 </TD>
     <TD noWrap align=right>38,250 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-4, Class 2A4, 0.731s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>117,000 </TD>
     <TD noWrap align=right>39,382 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-1, Class 2A3, 0.661s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>157,170 </TD>
     <TD noWrap align=right>77,013 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lothian Mortgages PLC 144A FRB Ser. 3A, Class D, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.78s, 2039 (United Kingdom) </TD>
     <TD noWrap align=left>GBP </TD>
     <TD noWrap align=right>900,000 </TD>
     <TD noWrap align=right>1,116,218 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Madison Avenue Manufactured Housing Contract FRB Ser. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>02-A, Class B1, 3.721s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,046,356 </TD>
     <TD noWrap align=right>455,272 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class A4, 0.621s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>61,000 </TD>
     <TD noWrap align=right>25,187 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mid-State Trust Ser. 11, Class B, 8.221s, 2038 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>110,807 </TD>
     <TD noWrap align=right>68,855 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Morgan Stanley ABS Capital I </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 04-HE8, Class B3, 3.671s, 2034 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>69,835 </TD>
     <TD noWrap align=right>6,983 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-HE2, Class M5, 1.151s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>160,000 </TD>
     <TD noWrap align=right>1,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-HE1, Class M3, 0.991s, 2034 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>160,000 </TD>
     <TD noWrap align=right>25,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-NC4, Class M2, 0.771s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>223,000 </TD>
     <TD noWrap align=right>15,610 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Navistar Financial Corp. Owner Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 05-A, Class C, 4.84s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>61,649 </TD>
     <TD noWrap align=right>55,225 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 04-B, Class C, 3.93s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>40,021 </TD>
     <TD noWrap align=right>33,682 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>New Century Home Equity Loan Trust FRB Ser. 03-4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class M3, 2.521s, 2033 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,321 </TD>
     <TD noWrap align=right>200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Novastar Home Equity Loan </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-1, Class A2C, 0.631s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>146,000 </TD>
     <TD noWrap align=right>85,410 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-2, Class A2C, 0.621s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>146,000 </TD>
     <TD noWrap align=right>62,196 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Oakwood Mortgage Investors, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 96-C, Class B1, 7.96s, 2027 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,000,401 </TD>
     <TD noWrap align=right>311,525 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-D, Class A1, 7.84s, 2029 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>866,540 </TD>
     <TD noWrap align=right>441,935 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-A, Class A2, 7.765s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>125,042 </TD>
     <TD noWrap align=right>69,254 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 95-B, Class B1, 7.55s, 2021 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>331,562 </TD>
     <TD noWrap align=right>188,718 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-D, Class A4, 7.4s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,022,000 </TD>
     <TD noWrap align=right>408,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-B, Class A4, 7.09s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>358,950 </TD>
     <TD noWrap align=right>243,117 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-B, Class A4, 6.99s, 2026 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>899,015 </TD>
     <TD noWrap align=right>548,811 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 00-D, Class A3, 6.99s, 2022 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>262,011 </TD>
     <TD noWrap align=right>232,105 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.97s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>52,335 </TD>
     <TD noWrap align=right>30,354 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-D, Class A4, 6.93s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>669,997 </TD>
     <TD noWrap align=right>344,125 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-E, Class A4, 6.81s, 2031 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>883,487 </TD>
     <TD noWrap align=right>518,180 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 99-B, Class A3, 6.45s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>214,174 </TD>
     <TD noWrap align=right>125,068 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-C, Class A2, 5.92s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>898,067 </TD>
     <TD noWrap align=right>302,476 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-C, Class A1, 5.41s, 2032 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,096,671 </TD>
     <TD noWrap align=right>581,236 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-D, Class A2, 5.26s, 2019 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>133,924 </TD>
     <TD noWrap align=right>61,581 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-E, Class A2, 5.05s, 2019 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>937,826 </TD>
     <TD noWrap align=right>487,370 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 02-A, Class A2, 5.01s, 2020 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>230,000 </TD>
     <TD noWrap align=right>130,033 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Oakwood Mortgage Investors, Inc. 144A </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-B, Class A4, 7.21s, 2030 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>170,644 </TD>
     <TD noWrap align=right>106,959 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 01-B, Class A2, 1.57s, 2018 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>46,070 </TD>
     <TD noWrap align=right>25,967 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option One Mortgage Loan Trust FRB Ser. 05-4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class M11, 2.971s, 2035 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>509,000 </TD>
     <TD noWrap align=right>6,872 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Park Place Securities, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-WCH1, Class M4, 1.301s, 2036 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>104,000 </TD>
     <TD noWrap align=right>6,240 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 04-MCW1, Class A2, 0.851s, 2034 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>109,631 </TD>
     <TD noWrap align=right>92,351 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>People's Financial Realty Mortgage Securities Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_13"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-1, Class 1A2, 0.601s, 2036 </TD>
     <TD noWrap align=right>225,000 </TD>
     <TD noWrap align=right>78,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Residential Asset Mortgage Products, Inc. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-NC3, Class A2, 0.661s, 2036 </TD>
     <TD noWrap align=right>146,314 </TD>
     <TD noWrap align=right>106,429 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-RZ1, Class A2, 0.631s, 2037 </TD>
     <TD noWrap align=right>176,000 </TD>
     <TD noWrap align=right>78,091 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Residential Asset Securities Corp. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-EMX1, Class M2, 1.201s, 2035 </TD>
     <TD noWrap align=right>362,000 </TD>
     <TD noWrap align=right>36,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. 01-KS3, Class AII, 0.931s, 2031 (F) </TD>
     <TD noWrap align=right>1,401,984 </TD>
     <TD noWrap align=right>911,417 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Securitized Asset Backed Receivables, LLC </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 05-HE1, Class M2, 1.121s, 2035 </TD>
     <TD noWrap align=right>160,000 </TD>
     <TD noWrap align=right>4,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 07-NC2, Class A2B, 0.611s, 2037 </TD>
     <TD noWrap align=right>165,000 </TD>
     <TD noWrap align=right>72,600 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>SG Mortgage Securities Trust FRB Ser. 06-OPT2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class A3D, PO, 0.681s, 2036 </TD>
     <TD noWrap align=right>246,000 </TD>
     <TD noWrap align=right>78,720 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Soundview Home Equity Loan Trust </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-OPT3, Class 2A3, 0.641s, 2036 </TD>
     <TD noWrap align=right>117,000 </TD>
     <TD noWrap align=right>51,480 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRB Ser. 06-3, Class A3, 0.631s, 2036 </TD>
     <TD noWrap align=right>529,000 </TD>
     <TD noWrap align=right>304,387 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Soundview Home Equity Loan Trust 144A FRB Ser. 05-4, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class M10, 2.971s, 2036 </TD>
     <TD noWrap align=right>392,000 </TD>
     <TD noWrap align=right>3,920 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>South Coast Funding 144A FRB Ser. 3A, Class A2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.588s, 2038 (Cayman Islands) </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=right>700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Structured Asset Investment Loan Trust FRB Ser. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>06-BNC2, Class A6, 0.731s, 2036 </TD>
     <TD noWrap align=right>117,000 </TD>
     <TD noWrap align=right>10,121 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Structured Asset Receivables Trust 144A FRB Ser. 05-1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.919s, 2015 </TD>
     <TD noWrap align=right>1,751,666 </TD>
     <TD noWrap align=right>1,182,374 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2038 </TD>
     <TD noWrap align=right>467,000 </TD>
     <TD noWrap align=right>70,050 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.84s, 2037 </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=right>62,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Whinstone Capital Management, Ltd. 144A FRB Ser. 1A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Class B3, 4.435s, 2044 (United Kingdom) </TD>
     <TD noWrap align=right>256,909 </TD>
     <TD noWrap align=right>30,829 </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total asset-backed securities (cost $62,594,181)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$36,414,573</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>SENIOR LOANS (10.7%)(a)(c)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Basic materials (0.9%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Aleris International, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2.567s, 2013 </TD>
     <TD noWrap align=right>$212,055 </TD>
     <TD noWrap align=right>$84,186 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Domtar Corp. bank term loan FRN 3.251s, 2014 (Canada) </TD>
     <TD noWrap align=right>306,000 </TD>
     <TD noWrap align=right>204,638 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Georgia-Pacific, LLC bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.698s, 2013 </TD>
     <TD noWrap align=right>451,922 </TD>
     <TD noWrap align=right>366,998 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Georgia-Pacific, LLC bank term loan FRN Ser. B2, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.79s, 2012 </TD>
     <TD noWrap align=right>263,046 </TD>
     <TD noWrap align=right>213,615 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Huntsman International, LLC bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2.221s, 2012 </TD>
     <TD noWrap align=right>1,420,000 </TD>
     <TD noWrap align=right>867,383 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NewPage Holding Corp. bank term loan FRN 5.314s, 2014 </TD>
     <TD noWrap align=right>260,600 </TD>
     <TD noWrap align=right>163,992 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Novelis, Inc. bank term loan FRN Ser. B, 5.77s, 2014 </TD>
     <TD noWrap align=right>229,902 </TD>
     <TD noWrap align=right>144,838 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Novelis, Inc. bank term loan FRN Ser. B, 5.77s, 2014 </TD>
     <TD noWrap align=right>505,785 </TD>
     <TD noWrap align=right>318,645 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rockwood Specialties Group, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. E, 3.546s, 2012 </TD>
     <TD noWrap align=right>72,675 </TD>
     <TD noWrap align=right>58,088 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>2,422,383</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Capital goods (0.8%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Berry Plastics Holding Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.876s, 2015 </TD>
     <TD noWrap align=right>147,375 </TD>
     <TD noWrap align=right>93,030 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Graham Packaging Co., LP bank term loan FRN 5.509s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2011 </TD>
     <TD noWrap align=right>98,250 </TD>
     <TD noWrap align=right>70,494 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hawker Beechcraft Acquisition Co., LLC bank term loan </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 3.662s, 2014 </TD>
     <TD noWrap align=right>51,780 </TD>
     <TD noWrap align=right>26,667 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hawker Beechcraft Acquisition Co., LLC bank term loan </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN Ser. B, 5.762s, 2014 </TD>
     <TD noWrap align=right>971,519 </TD>
     <TD noWrap align=right>500,333 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hexcel Corp. bank term loan FRN Ser. B, 5.141s, 2012 </TD>
     <TD noWrap align=right>259,418 </TD>
     <TD noWrap align=right>215,317 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Manitowoc Co., Inc. (The) bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 1/2s, 2014 </TD>
     <TD noWrap align=right>575,000 </TD>
     <TD noWrap align=right>399,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mueller Water Products, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 4.952s, 2014 </TD>
     <TD noWrap align=right>353,360 </TD>
     <TD noWrap align=right>234,985 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Polypore, Inc. bank term loan FRN Ser. B, 3.93s, 2014 </TD>
     <TD noWrap align=right>312,105 </TD>
     <TD noWrap align=right>181,021 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sensata Technologies BV bank term loan FRN 5.257s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 (Netherlands) </TD>
     <TD noWrap align=right>277,537 </TD>
     <TD noWrap align=right>138,769 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sequa Corp. bank term loan FRN 4.78s, 2014 </TD>
     <TD noWrap align=right>405,313 </TD>
     <TD noWrap align=right>220,895 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Transdigm, Inc. bank term loan FRN 3.498s, 2013 </TD>
     <TD noWrap align=right>69,000 </TD>
     <TD noWrap align=right>54,510 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wesco Aircraft Hardware Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.69s, 2013 </TD>
     <TD noWrap align=right>210,000 </TD>
     <TD noWrap align=right>156,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>2,292,446</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Communication services (2.1%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Alltel Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B2, 4.371s, 2015 </TD>
     <TD noWrap align=right>623,266 </TD>
     <TD noWrap align=right>610,957 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Alltel Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B3, 3.939s, 2015 </TD>
     <TD noWrap align=right>648,078 </TD>
     <TD noWrap align=right>635,926 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cablevision Systems Corp. bank term loan FRN 2.949s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=right>154,388 </TD>
     <TD noWrap align=right>131,165 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cebridge Connections, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.16s, 2013 </TD>
     <TD noWrap align=right>452,750 </TD>
     <TD noWrap align=right>292,024 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Charter Communications Operating, LLC bank term loan </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN 8.77s, 2014 </TD>
     <TD noWrap align=right>228,275 </TD>
     <TD noWrap align=right>179,386 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Charter Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.262s, 2014 </TD>
     <TD noWrap align=right>200,000 </TD>
     <TD noWrap align=right>110,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Charter Communications, Inc. bank term loan FRN 5.06s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>1,041,584 </TD>
     <TD noWrap align=right>760,357 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cricket Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 7.262s, 2013 </TD>
     <TD noWrap align=right>7,709 </TD>
     <TD noWrap align=right>6,387 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Crown Castle International Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.376s, 2014 </TD>
     <TD noWrap align=right>77,890 </TD>
     <TD noWrap align=right>52,965 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_14"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Fairpoint Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.563s, 2015 </TD>
     <TD noWrap align=right>480,000 </TD>
     <TD noWrap align=right>298,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Insight Midwest, LP bank term loan FRN Ser. B, 3.91s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>130,326 </TD>
     <TD noWrap align=right>96,115 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Intelsat Corp. bank term loan FRN Ser. B2, 6.65s, 2011 </TD>
     <TD noWrap align=right>211,032 </TD>
     <TD noWrap align=right>159,178 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Intelsat Corp. bank term loan FRN Ser. B2-A, 6.65s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=right>211,096 </TD>
     <TD noWrap align=right>159,227 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Intelsat Corp. bank term loan FRN Ser. B2-C, 6.65s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=right>211,032 </TD>
     <TD noWrap align=right>159,178 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Intelsat, Ltd. bank term loan FRN 6.883s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Bermuda) </TD>
     <TD noWrap align=right>460,000 </TD>
     <TD noWrap align=right>299,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Intelsat, Ltd. bank term loan FRN Ser. B, 3.898s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Bermuda) </TD>
     <TD noWrap align=right>588,000 </TD>
     <TD noWrap align=right>469,224 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Level 3 Communications, Inc. bank term loan FRN 7s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>210,000 </TD>
     <TD noWrap align=right>125,738 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mediacom Communications Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. C, 1.77s, 2015 </TD>
     <TD noWrap align=right>814,316 </TD>
     <TD noWrap align=right>513,019 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mediacom Communications Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. D2, 2.02s, 2015 </TD>
     <TD noWrap align=right>117,600 </TD>
     <TD noWrap align=right>76,440 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MetroPCS Wireless, Inc. bank term loan FRN 4.843s, 2013 </TD>
     <TD noWrap align=right>180,205 </TD>
     <TD noWrap align=right>143,995 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PAETEC Holding Corp. bank term loan FRN 3.936s, 2013 </TD>
     <TD noWrap align=right>69,475 </TD>
     <TD noWrap align=right>41,569 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PAETEC Holding Corp. bank term loan FRN Ser. B1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.936s, 2013 </TD>
     <TD noWrap align=right>203,728 </TD>
     <TD noWrap align=right>121,897 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Time Warner Telecom, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.691s, 2013 </TD>
     <TD noWrap align=right>232,021 </TD>
     <TD noWrap align=right>179,236 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>West Corp. bank term loan FRN 3.468s, 2013 </TD>
     <TD noWrap align=right>113,300 </TD>
     <TD noWrap align=right>69,315 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>5,691,098</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Consumer cyclicals (3.5%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Affinion Group, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.644s, 2013 </TD>
     <TD noWrap align=right>902,719 </TD>
     <TD noWrap align=right>613,849 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Allison Transmission bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.581s, 2014 </TD>
     <TD noWrap align=right>438,754 </TD>
     <TD noWrap align=right>242,568 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CCM Merger, Inc. bank term loan FRN Ser. B, 5.101s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=right>104,328 </TD>
     <TD noWrap align=right>46,947 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cenveo, Inc. bank term loan FRN Ser. C, 3.275s, 2014 </TD>
     <TD noWrap align=right>237,789 </TD>
     <TD noWrap align=right>136,729 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cenveo, Inc. bank term loan FRN Ser. DD, 3.275s, 2014 </TD>
     <TD noWrap align=right>7,923 </TD>
     <TD noWrap align=right>4,556 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cinemark USA, Inc. bank term loan FRN 3.58s, 2013 </TD>
     <TD noWrap align=right>577,064 </TD>
     <TD noWrap align=right>413,425 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Citadel Communications bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.726s, 2014 </TD>
     <TD noWrap align=right>425,000 </TD>
     <TD noWrap align=right>170,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cooper-Standard Automotive, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.313s, 2012 </TD>
     <TD noWrap align=right>221,216 </TD>
     <TD noWrap align=right>92,911 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cooper-Standard Automotive, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. C, 6.313s, 2012 </TD>
     <TD noWrap align=right>552,683 </TD>
     <TD noWrap align=right>232,127 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dana Corp. bank term loan FRN 6.353s, 2015 </TD>
     <TD noWrap align=right>438,257 </TD>
     <TD noWrap align=right>206,528 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dex Media West, LLC/Dex Media Finance Co. bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan FRN Ser. B, 7.538s, 2014 </TD>
     <TD noWrap align=right>250,000 </TD>
     <TD noWrap align=right>100,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DirecTV Holdings, LLC bank term loan FRN 5 1/4s, 2013 </TD>
     <TD noWrap align=right>217,308 </TD>
     <TD noWrap align=right>192,227 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GateHouse Media, Inc. bank term loan FRN Ser. B, 4.2s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>513,424 </TD>
     <TD noWrap align=right>64,691 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GateHouse Media, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.12s, 2014 </TD>
     <TD noWrap align=right>220,000 </TD>
     <TD noWrap align=right>27,720 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>GateHouse Media, Inc. bank term loan FRN Ser. DD, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9.076s, 2014 </TD>
     <TD noWrap align=right>191,576 </TD>
     <TD noWrap align=right>24,139 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Golden Nugget, Inc. bank term loan FRN Ser. B, 2.48s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>101,818 </TD>
     <TD noWrap align=right>26,473 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.15s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 (U) </TD>
     <TD noWrap align=right>58,182 </TD>
     <TD noWrap align=right>15,127 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Goodman Global Holdings, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 7.708s, 2011 </TD>
     <TD noWrap align=right>898,895 </TD>
     <TD noWrap align=right>656,193 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Goodyear Tire &amp; Rubber Co. (The) bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2.22s, 2010 </TD>
     <TD noWrap align=right>1,478,400 </TD>
     <TD noWrap align=right>927,696 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Harrah's Operating Co., Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B2, 6.536s, 2015 </TD>
     <TD noWrap align=right>208,425 </TD>
     <TD noWrap align=right>120,481 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Idearc, Inc. bank term loan FRN Ser. B, 5.67s, 2014 </TD>
     <TD noWrap align=right>1,409,487 </TD>
     <TD noWrap align=right>429,893 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Isle of Capri Casinos, Inc. bank term loan FRN 5.512s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>206,657 </TD>
     <TD noWrap align=right>121,514 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Isle of Capri Casinos, Inc. bank term loan FRN Ser. A, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.512s, 2014 </TD>
     <TD noWrap align=right>62,312 </TD>
     <TD noWrap align=right>36,639 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Isle of Capri Casinos, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.512s, 2014 </TD>
     <TD noWrap align=right>82,663 </TD>
     <TD noWrap align=right>48,606 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lear Corp bank term loan FRN 4.584s, 2013 </TD>
     <TD noWrap align=right>982,461 </TD>
     <TD noWrap align=right>431,792 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Michaels Stores, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.523s, 2013 </TD>
     <TD noWrap align=right>124,025 </TD>
     <TD noWrap align=right>63,780 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>National Bedding Co. bank term loan FRN 3.752s, 2011 </TD>
     <TD noWrap align=right>90,311 </TD>
     <TD noWrap align=right>50,800 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Navistar Financial Corp. bank term loan FRN 4.358s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=right>218,667 </TD>
     <TD noWrap align=right>119,538 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Navistar International Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.721s, 2012 </TD>
     <TD noWrap align=right>601,333 </TD>
     <TD noWrap align=right>328,729 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>R.H. Donnelley, Inc. bank term loan FRN 6.857s, 2011 </TD>
     <TD noWrap align=right>517,446 </TD>
     <TD noWrap align=right>290,417 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>R.H. Donnelley, Inc. bank term loan FRN Ser. D1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 3/4s, 2011 </TD>
     <TD noWrap align=right>288,817 </TD>
     <TD noWrap align=right>164,626 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Reader's Digest Association, Inc. (The) bank term loan </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FRN Ser. B, 4.083s, 2014 </TD>
     <TD noWrap align=right>417,563 </TD>
     <TD noWrap align=right>129,444 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Realogy Corp. bank term loan FRN 3.853s, 2013 (R) </TD>
     <TD noWrap align=right>165,950 </TD>
     <TD noWrap align=right>103,166 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Realogy Corp. bank term loan FRN Ser. B, 5.706s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(R) </TD>
     <TD noWrap align=right>616,388 </TD>
     <TD noWrap align=right>383,188 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Six Flags Theme Parks bank term loan FRN 3.686s, 2015 </TD>
     <TD noWrap align=right>541,235 </TD>
     <TD noWrap align=right>314,999 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(In default) </TD>
     <TD noWrap align=right>948,000 </TD>
     <TD noWrap align=right>262,055 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Tropicana Entertainment bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4 1/2s, 2011 </TD>
     <TD noWrap align=right>695,000 </TD>
     <TD noWrap align=right>158,691 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>TRW Automotive, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.211s, 2014 </TD>
     <TD noWrap align=right>182,688 </TD>
     <TD noWrap align=right>119,843 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_15"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United Components, Inc. bank term loan FRN Ser. D, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.39s, 2012 </TD>
     <TD noWrap align=right>388,444 </TD>
     <TD noWrap align=right>268,027 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Universal City Development Partners bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.284s, 2011 </TD>
     <TD noWrap align=right>969,872 </TD>
     <TD noWrap align=right>834,090 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Univision Communications, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 3.686s, 2014 </TD>
     <TD noWrap align=right>175,000 </TD>
     <TD noWrap align=right>69,708 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Visant Holding Corp. bank term loan FRN Ser. C, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.171s, 2010 </TD>
     <TD noWrap align=right>363,793 </TD>
     <TD noWrap align=right>300,129 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Visteon Corp. bank term loan FRN Ser. B, 7 3/4s, 2013 </TD>
     <TD noWrap align=right>480,000 </TD>
     <TD noWrap align=right>114,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Warner Music Group bank term loan FRN Ser. B, 4.285s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2011 </TD>
     <TD noWrap align=right>150,280 </TD>
     <TD noWrap align=right>113,461 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Yankee Candle Co., Inc. bank term loan FRN 3.404s, 2014 </TD>
     <TD noWrap align=right>124,000 </TD>
     <TD noWrap align=right>62,124 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>9,634,046</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Consumer staples (0.7%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dean Foods Co. bank term loan FRN Ser. B, 5.24s, 2014 </TD>
     <TD noWrap align=right>498,259 </TD>
     <TD noWrap align=right>416,402 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Jarden Corp. bank term loan FRN Ser. B1, 5.512s, 2012 </TD>
     <TD noWrap align=right>270,078 </TD>
     <TD noWrap align=right>200,128 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Jarden Corp. bank term loan FRN Ser. B2, 5.512s, 2012 </TD>
     <TD noWrap align=right>122,774 </TD>
     <TD noWrap align=right>90,975 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pinnacle Foods Holding Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.126s, 2014 </TD>
     <TD noWrap align=right>503,389 </TD>
     <TD noWrap align=right>341,801 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rental Service Corp. bank term loan FRN 7.402s, 2013 </TD>
     <TD noWrap align=right>445,000 </TD>
     <TD noWrap align=right>235,155 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Rite-Aid Corp. bank term loan FRN Ser. B, 3.795s, 2014 </TD>
     <TD noWrap align=right>99,250 </TD>
     <TD noWrap align=right>57,813 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Spectrum Brands, Inc. bank term loan FRN 1.751s, 2013 </TD>
     <TD noWrap align=right>30,543 </TD>
     <TD noWrap align=right>16,493 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Spectrum Brands, Inc. bank term loan FRN Ser. B1, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.571s, 2013 </TD>
     <TD noWrap align=right>528,533 </TD>
     <TD noWrap align=right>285,408 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ticketmaster bank term loan FRN Ser. B, 6.64s, 2014 </TD>
     <TD noWrap align=right>305,000 </TD>
     <TD noWrap align=right>207,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>1,851,575</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Energy (0.5%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CR Gas Storage bank term loan FRN 4.847s, 2013 </TD>
     <TD noWrap align=right>49,920 </TD>
     <TD noWrap align=right>35,193 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CR Gas Storage bank term loan FRN 4.843s, 2013 </TD>
     <TD noWrap align=right>20,727 </TD>
     <TD noWrap align=right>14,612 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CR Gas Storage bank term loan FRN Ser. B, 4.847s, 2013 </TD>
     <TD noWrap align=right>308,412 </TD>
     <TD noWrap align=right>217,431 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CR Gas Storage bank term loan FRN Ser. DD, 4.844s, 2013 </TD>
     <TD noWrap align=right>33,815 </TD>
     <TD noWrap align=right>23,840 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Enterprise GP Holdings, LP bank term loan FRN 5.663s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>31,500 </TD>
     <TD noWrap align=right>25,515 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EPCO Holding, Inc. bank term loan FRN Ser. A, 1.508s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2012 </TD>
     <TD noWrap align=right>220,000 </TD>
     <TD noWrap align=right>180,400 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hercules Offshore, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.64s, 2013 </TD>
     <TD noWrap align=right>243,733 </TD>
     <TD noWrap align=right>157,208 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MEG Energy Corp. bank term loan FRN 5.77s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Canada) </TD>
     <TD noWrap align=right>97,250 </TD>
     <TD noWrap align=right>62,726 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MEG Energy Corp. bank term loan FRN Ser. DD, 5.77s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 (Canada) </TD>
     <TD noWrap align=right>99,125 </TD>
     <TD noWrap align=right>63,936 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Petroleum Geo-Services ASA bank term loan FRN 5.51s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2015 (Norway) </TD>
     <TD noWrap align=right>143,000 </TD>
     <TD noWrap align=right>97,240 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Quicksilver Resources, Inc. bank term loan FRN 7 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=right>261,842 </TD>
     <TD noWrap align=right>168,888 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Targa Resources, Inc. bank term loan FRN 5.97s, 2012 </TD>
     <TD noWrap align=right>267,825 </TD>
     <TD noWrap align=right>165,669 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Targa Resources, Inc. bank term loan FRN 3.637s, 2012 </TD>
     <TD noWrap align=right>153,871 </TD>
     <TD noWrap align=right>95,180 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>1,307,838</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Financials (--%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>General Growth Properties, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. A, 2.98s, 2010 (R) </TD>
     <TD noWrap align=right>100,000 </TD>
     <TD noWrap align=right>28,929 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hub International, Ltd. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.262s, 2014 </TD>
     <TD noWrap align=right>141,187 </TD>
     <TD noWrap align=right>80,476 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hub International, Ltd. bank term loan FRN Ser. DD, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.262s, 2014 </TD>
     <TD noWrap align=right>31,734 </TD>
     <TD noWrap align=right>18,088 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>127,493</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Health care (0.9%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Community Health Systems, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 4.445s, 2014 </TD>
     <TD noWrap align=right>537,745 </TD>
     <TD noWrap align=right>416,887 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Community Health Systems, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. DD, 3.404s, 2014 (U) </TD>
     <TD noWrap align=right>27,750 </TD>
     <TD noWrap align=right>21,513 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Health Management Associates, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.512s, 2014 </TD>
     <TD noWrap align=right>1,322,385 </TD>
     <TD noWrap align=right>808,544 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Healthsouth Corp. bank term loan FRN Ser. B, 4.699s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2013 </TD>
     <TD noWrap align=right>350,667 </TD>
     <TD noWrap align=right>268,511 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IASIS Healthcare, LLC/IASIS Capital Corp. bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan FRN 8.758s, 2014 </TD>
     <TD noWrap align=right>374,492 </TD>
     <TD noWrap align=right>204,098 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IASIS Healthcare, LLC/IASIS Capital Corp. bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan FRN 7.62s, 2014 </TD>
     <TD noWrap align=right>32,503 </TD>
     <TD noWrap align=right>23,057 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IASIS Healthcare, LLC/IASIS Capital Corp. bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan FRN Ser. B, 3.431s, 2014 </TD>
     <TD noWrap align=right>350,475 </TD>
     <TD noWrap align=right>248,618 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>IASIS Healthcare, LLC/IASIS Capital Corp. bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan FRN Ser. DD, 3.431s, 2014 </TD>
     <TD noWrap align=right>121,276 </TD>
     <TD noWrap align=right>86,030 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>LifePoint, Inc. bank term loan FRN Ser. B, 3.821s, 2012 </TD>
     <TD noWrap align=right>232,437 </TD>
     <TD noWrap align=right>193,504 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sun Healthcare Group, Inc. bank term loan FRN 3.662s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>35,012 </TD>
     <TD noWrap align=right>23,283 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sun Healthcare Group, Inc. bank term loan FRN Ser. B, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.823s, 2014 </TD>
     <TD noWrap align=right>108,913 </TD>
     <TD noWrap align=right>72,427 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sun Healthcare Group, Inc. bank term loan FRN Ser. DD, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4.955s, 2014 </TD>
     <TD noWrap align=right>20,758 </TD>
     <TD noWrap align=right>13,804 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>2,380,276</B> </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Technology (0.4%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Activant Solutions Holdings, Inc. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.066s, 2013 </TD>
     <TD noWrap align=right>172,462 </TD>
     <TD noWrap align=right>106,927 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Compucom Systems, Inc. bank term loan FRN 4.94s, 2014 </TD>
     <TD noWrap align=right>135,607 </TD>
     <TD noWrap align=right>88,144 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>First Data Corp. bank term loan FRN Ser. B1, 3.416s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=right>389,592 </TD>
     <TD noWrap align=right>249,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>First Data Corp. bank term loan FRN Ser. B3, 3.416s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_16"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="65%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>225,593 </TD>
     <TD noWrap align=right>144,299 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Flextronics International, Ltd. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 7.069s, 2014 (Singapore) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>173,033 </TD>
     <TD noWrap align=right>108,434 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Flextronics International, Ltd. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B, 6.155s, 2014 (Singapore) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>602,155 </TD>
     <TD noWrap align=right>377,350 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Travelport bank term loan FRN 6.262s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>6,335 </TD>
     <TD noWrap align=right>2,688 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Travelport bank term loan FRN Ser. B, 6.012s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>115,464 </TD>
     <TD noWrap align=right>49,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Travelport bank term loan FRN Ser. DD, 3.686s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>49,840 </TD>
     <TD noWrap align=right>21,348 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>1,147,390</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Transportation (0.3%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ceva Group PLC bank term loan FRN 9.458s, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Netherlands) (F) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,810,000 </TD>
     <TD noWrap align=right>669,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Delta Airlines, Inc. bank term loan FRN 3.951s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,250 </TD>
     <TD noWrap align=right>1,471 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>671,171</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Utilities and power (0.6%)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dynegy Holdings, Inc. bank term loan FRN 2.94s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>194,000 </TD>
     <TD noWrap align=right>145,015 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Energy Future Holdings Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B2, 5.603s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>271,428 </TD>
     <TD noWrap align=right>187,625 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Energy Future Holdings Corp. bank term loan FRN </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ser. B3, 5.382s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>638,550 </TD>
     <TD noWrap align=right>441,398 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NRG Energy, Inc. bank term loan FRN 5.412s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>171,715 </TD>
     <TD noWrap align=right>148,319 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>NRG Energy, Inc. bank term loan FRN 5.262s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>348,193 </TD>
     <TD noWrap align=right>300,751 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Reliant Energy, Inc. bank term loan FRN 1.88s, 2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>450,000 </TD>
     <TD noWrap align=right>322,200 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>1,545,308</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total senior loans (cost $46,656,470)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$29,071,024</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>FOREIGN GOVERNMENT BONDS AND NOTES (10.1%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina (Republic of) bonds zero %, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$47,000 </TD>
     <TD noWrap align=right>$14,194 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina (Republic of) bonds Ser. $ V, 10 1/2s, 2012 </TD>
     <TD noWrap align=left>ARS </TD>
     <TD noWrap align=right>2,039,000 </TD>
     <TD noWrap align=right>203,900 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina (Republic of) bonds FRB 3s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,431,000 </TD>
     <TD noWrap align=right>469,390 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina (Republic of) sr. unsec. unsub. bonds zero </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>%, 2015 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>653,000 </TD>
     <TD noWrap align=right>173,045 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina (Republic of) sr. unsec. unsub. bonds FRB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.127s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>10,181,000 </TD>
     <TD noWrap align=right>2,701,814 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Brazil (Federal Republic of) bonds 6s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>790,000 </TD>
     <TD noWrap align=right>747,885 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Colombia (Republic of) notes 10s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,497,000 </TD>
     <TD noWrap align=right>3,836,419 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ecuador (Republic of) bonds Ser. REGS, 12s, 2012 (In </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>default) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,237,056 </TD>
     <TD noWrap align=right>279,006 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ecuador (Republic of) 144A unsec. bonds 12s, 2012 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>465,120 </TD>
     <TD noWrap align=right>104,903 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ecuador (Republic of) regs notes 9 3/8s, 2015 (In </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>default) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>125,000 </TD>
     <TD noWrap align=right>24,389 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ghana (Republic of) bonds 8 1/2s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>285,000 </TD>
     <TD noWrap align=right>113,288 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Indonesia (Republic of) 144A sr. unsec. bonds 6 3/4s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2014 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,590,000 </TD>
     <TD noWrap align=right>1,332,197 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Japan (Government of) CPI Linked bonds Ser. 12, 1.2s, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>2017 </TD>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>380,825,600 </TD>
     <TD noWrap align=right>3,592,755 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016 </TD>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>1,036,408,800 </TD>
     <TD noWrap align=right>9,787,760 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Spain (Government of) bonds 5.4s, 2011 </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>1,000,000 </TD>
     <TD noWrap align=right>1,482,934 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ukraine (Government of) 144A bonds 6 3/4s, 2017 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$425,000 </TD>
     <TD noWrap align=right>159,039 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ukraine (Government of) 144A sr. unsub. 6.58s, 2016 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>600,000 </TD>
     <TD noWrap align=right>225,900 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Venezuela (Republic of) notes 10 3/4s, 2013 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,985,000 </TD>
     <TD noWrap align=right>1,250,768 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Venezuela (Republic of) unsec. note FRN Ser. REGS, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.059s, 2011 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>770,000 </TD>
     <TD noWrap align=right>469,700 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Venezuela (Republic of) unsub. bonds 5 3/8s, 2010 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>527,000 </TD>
     <TD noWrap align=right>406,022 </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total foreign government bonds and notes (cost $32,207,448)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$27,375,308</B> </TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>PURCHASED OPTIONS OUTSTANDING (5.6%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Expiration date/ </TD>
     <TD noWrap align=right>Contract </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>strike price </TD>
     <TD noWrap align=right>amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bank, N.A. for the right to receive a fixed rate </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>of 5.355% versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>on November 12, 2019. </TD>
     <TD noWrap align=left>Nov-09/5.355 </TD>
     <TD noWrap align=right>$18,927,000 </TD>
     <TD noWrap align=right>$4,334,662 </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with Goldman Sachs </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>International for the right to receive a fixed rate </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>of 5.355% versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>November 12, 2019. </TD>
     <TD noWrap align=left>Nov-09/5.355 </TD>
     <TD noWrap align=right>18,927,000 </TD>
     <TD noWrap align=right>4,334,662 </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with Goldman Sachs </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>International for the right to pay a fixed rate </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>of 5.355% versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>on November 12, 2019. </TD>
     <TD noWrap align=left>Nov-09/5.355 </TD>
     <TD noWrap align=right>18,927,000 </TD>
     <TD noWrap align=right>54,888 </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bank, N.A. for the right to pay a fixed rate of 5.355% </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left>Nov-09/5.355 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>November 12, 2019. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>18,927,000 </TD>
     <TD noWrap align=right>54,888 </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bank, N.A. for the right to receive a fixed rate </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>of 5.03% versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>on February 16, 2020. </TD>
     <TD noWrap align=left>Feb-10/5.03 </TD>
     <TD noWrap align=right>32,120,000 </TD>
     <TD noWrap align=right>6,340,167 </TD></TR>
<TR>
     <TD colSpan=4>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bank, N.A. for the right to pay a fixed rate of 5.03% </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>versus the three month USD-LIBOR-BBA maturing on </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>February 16, 2020. </TD>
     <TD noWrap align=left>Feb-10/5.03 </TD>
     <TD noWrap align=right>32,120,000 </TD>
     <TD noWrap align=right>185,332 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_17"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total purchased options outstanding (cost $5,722,628)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$15,304,599</B> </TD></TR>
<TR>
     <TD colSpan=3></TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>CONVERTIBLE BONDS AND NOTES (0.1%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal amount </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>General Cable Corp. cv. company guaranty sr. unsec. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>notes 1s, 2012 </TD>
     <TD noWrap align=right>$525,000 </TD>
     <TD noWrap align=right>$327,469 </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total convertible bonds and notes (cost $419,609)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$327,469</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>COMMON STOCKS (--%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Shares </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AboveNet, Inc. (NON) </TD>
     <TD noWrap align=right>307 </TD>
     <TD noWrap align=right>$8,903 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bohai Bay Litigation, LLC (Units) (F) </TD>
     <TD noWrap align=right>991 </TD>
     <TD noWrap align=right>46,072 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Vertis Holdings, Inc. (F)(NON) </TD>
     <TD noWrap align=right>11,336 </TD>
     <TD noWrap align=right>11 </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total common stocks (cost $10,915)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$54,986</B> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD></TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="51%"></TD>
     <TD width="16%"></TD>
     <TD width="8%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>WARRANTS (--%)(a)(NON)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Expiration date </TD>
     <TD noWrap align=left>Strike Price </TD>
     <TD noWrap align=right>Warrants </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AboveNet, Inc. </TD>
     <TD noWrap align=left>9/08/10 </TD>
     <TD noWrap align=left>$24.00 </TD>
     <TD noWrap align=right>118 </TD>
     <TD noWrap align=right>$1,180 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dayton Superior Corp. 144A (F) </TD>
     <TD noWrap align=left>6/15/09 </TD>
     <TD noWrap align=left>0.01 </TD>
     <TD noWrap align=right>1,020 </TD>
     <TD noWrap align=right>826 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>New ASAT Finance, Ltd. (Cayman Islands) (F) </TD>
     <TD noWrap align=left>2/01/11 </TD>
     <TD noWrap align=left>0.01 </TD>
     <TD noWrap align=right>3,380 </TD>
     <TD noWrap align=right>-- </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Smurfit Kappa Group PLC 144A (Ireland) </TD>
     <TD noWrap align=left>10/01/13 </TD>
     <TD noWrap align=left>EUR .001 </TD>
     <TD noWrap align=right>508 </TD>
     <TD noWrap align=right>6,480 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Vertis Holdings, Inc. (F) </TD>
     <TD noWrap align=left>10/18/15 </TD>
     <TD noWrap align=left>$0.01 </TD>
     <TD noWrap align=right>752 </TD>
     <TD noWrap align=right>-- </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total warrants (cost $38,587)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$8,486</B> </TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD colSpan=3>&nbsp;</TD>
     <TD>&nbsp; </TD></TR></TABLE><BR>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="75%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>CONVERTIBLE PREFERRED STOCKS (--%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Shares </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. </TD>
     <TD noWrap align=right>2,393 </TD>
     <TD noWrap align=right>$5,384 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(In default) </TD>
     <TD noWrap align=right>667 </TD>
     <TD noWrap align=right>334 </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total convertible preferred stocks (cost $738,520)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$5,718</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>SHORT-TERM INVESTMENTS (20.0%)(a)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>amount/shares </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Federated Prime Obligations Fund </TD>
     <TD noWrap align=right>45,056,021 </TD>
     <TD noWrap align=right>45,056,021 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.S. Treasury Cash Management Bills for an effective </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>yield of 0.88%, May 15, 2009 (SEG) </TD>
     <TD noWrap align=right>$9,305,000 </TD>
     <TD noWrap align=right>9,274,535 </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total short-term investments (cost $54,330,556)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$54,330,556</B> </TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>TOTAL INVESTMENTS</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=3>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total investments (cost $474,222,308) (b)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$389,835,532</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_18"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><B>FORWARD CURRENCY CONTRACTS TO BUY at 12/31/08 (aggregate face value $38,748,821) (Unaudited)</B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Aggregate </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Delivery </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Value </TD>
     <TD noWrap align=right>face value </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Australian Dollar </TD>
     <TD noWrap align=right>$5,003,687 </TD>
     <TD noWrap align=right>$5,174,243 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>$(170,556) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>British Pound </TD>
     <TD noWrap align=right>2,506,434 </TD>
     <TD noWrap align=right>2,527,719 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(21,285) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Canadian Dollar </TD>
     <TD noWrap align=right>2,544,218 </TD>
     <TD noWrap align=right>2,648,879 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(104,661) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Danish Krone </TD>
     <TD noWrap align=right>252,206 </TD>
     <TD noWrap align=right>230,498 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>21,708 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro </TD>
     <TD noWrap align=right>5,430,046 </TD>
     <TD noWrap align=right>5,077,131 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>352,915 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hungarian Forint </TD>
     <TD noWrap align=right>1,160,428 </TD>
     <TD noWrap align=right>1,060,934 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>99,494 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Japanese Yen </TD>
     <TD noWrap align=right>3,029,711 </TD>
     <TD noWrap align=right>3,017,887 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>11,824 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Malaysian Ringgit </TD>
     <TD noWrap align=right>1,789,524 </TD>
     <TD noWrap align=right>1,701,708 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>87,816 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mexican Peso </TD>
     <TD noWrap align=right>3,074 </TD>
     <TD noWrap align=right>3,581 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(507) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Norwegian Krone </TD>
     <TD noWrap align=right>5,715,310 </TD>
     <TD noWrap align=right>5,616,132 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>99,178 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Polish Zloty </TD>
     <TD noWrap align=right>3,658,213 </TD>
     <TD noWrap align=right>3,576,887 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>81,326 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>South African Rand </TD>
     <TD noWrap align=right>1,053,254 </TD>
     <TD noWrap align=right>1,149,685 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(96,431) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Swedish Krona </TD>
     <TD noWrap align=right>3,510,602 </TD>
     <TD noWrap align=right>3,408,480 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>102,122 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Swiss Franc </TD>
     <TD noWrap align=right>3,994,438 </TD>
     <TD noWrap align=right>3,555,057 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>439,381 </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$902,324</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_19"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=5><B>FORWARD CURRENCY CONTRACTS TO SELL at 12/31/08 (aggregate face value $37,556,485) (Unaudited)</B></TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Aggregate </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Delivery </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Value </TD>
     <TD noWrap align=right>face value </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Australian Dollar </TD>
     <TD noWrap align=right>$4,596,156 </TD>
     <TD noWrap align=right>$4,694,694 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>$98,538 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Brazilian Real </TD>
     <TD noWrap align=right>1,065,799 </TD>
     <TD noWrap align=right>1,050,360 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(15,439) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>British Pound </TD>
     <TD noWrap align=right>5,841,027 </TD>
     <TD noWrap align=right>5,881,816 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>40,789 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Canadian Dollar </TD>
     <TD noWrap align=right>2,742,259 </TD>
     <TD noWrap align=right>2,827,472 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>85,213 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro </TD>
     <TD noWrap align=right>5,167,401 </TD>
     <TD noWrap align=right>4,758,104 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(409,297) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Hungarian Forint </TD>
     <TD noWrap align=right>1,176,169 </TD>
     <TD noWrap align=right>1,069,565 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(106,604) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Mexican Peso </TD>
     <TD noWrap align=right>27,260 </TD>
     <TD noWrap align=right>33,461 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>6,201 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Norwegian Krone </TD>
     <TD noWrap align=right>6,003,734 </TD>
     <TD noWrap align=right>5,891,509 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(112,225) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Polish Zloty </TD>
     <TD noWrap align=right>2,854,400 </TD>
     <TD noWrap align=right>2,799,416 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(54,984) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>South African Rand </TD>
     <TD noWrap align=right>1,031,595 </TD>
     <TD noWrap align=right>1,128,384 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>96,789 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Swedish Krona </TD>
     <TD noWrap align=right>3,752,518 </TD>
     <TD noWrap align=right>3,627,007 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(125,511) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Swiss Franc </TD>
     <TD noWrap align=right>4,238,869 </TD>
     <TD noWrap align=right>3,794,697 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/21/09 </TD>
     <TD noWrap align=right>(444,172) </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$(940,702)</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_20"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="47%"></TD>
     <TD width="15%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>FUTURES CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Number of </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Expiration </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>contracts </TD>
     <TD noWrap align=right>Value </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Australian Government Treasury Bond 10 yr (Long) </TD>
     <TD noWrap align=right>1 </TD>
     <TD noWrap align=right>$510,147 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>$1,750 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Canadian Government Bond 10 yr (Long) </TD>
     <TD noWrap align=right>3 </TD>
     <TD noWrap align=right>313,271 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>19,834 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Bund 10 yr (Short) </TD>
     <TD noWrap align=right>33 </TD>
     <TD noWrap align=right>5,750,717 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(116,685) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Dollar 90 day (Short) </TD>
     <TD noWrap align=right>125 </TD>
     <TD noWrap align=right>30,896,875 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Jun-09 </TD>
     <TD noWrap align=right>(531,927) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Dollar 90 day (Short) </TD>
     <TD noWrap align=right>227 </TD>
     <TD noWrap align=right>56,037,788 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Sep-09 </TD>
     <TD noWrap align=right>(1,007,005) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Dollar 90 day (Short) </TD>
     <TD noWrap align=right>617 </TD>
     <TD noWrap align=right>152,067,363 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Dec-09 </TD>
     <TD noWrap align=right>(2,778,666) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Dollar 90 day (Short) </TD>
     <TD noWrap align=right>21 </TD>
     <TD noWrap align=right>5,169,675 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-10 </TD>
     <TD noWrap align=right>(112,857) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Euro-Schatz 2 yr (Short) </TD>
     <TD noWrap align=right>135 </TD>
     <TD noWrap align=right>20,252,345 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(72,100) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Japanese Government Bond 10 yr (Short) </TD>
     <TD noWrap align=right>17 </TD>
     <TD noWrap align=right>26,219,483 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(164,752) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.K. Gilt 10 yr (Long) </TD>
     <TD noWrap align=right>3 </TD>
     <TD noWrap align=right>540,206 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>33,288 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.S. Treasury Bond 20 yr (Short) </TD>
     <TD noWrap align=right>61 </TD>
     <TD noWrap align=right>8,420,859 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>80,411 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.S. Treasury Note 2 yr (Short) </TD>
     <TD noWrap align=right>307 </TD>
     <TD noWrap align=right>66,945,188 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(562,110) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.S. Treasury Note 5 yr (Short) </TD>
     <TD noWrap align=right>71 </TD>
     <TD noWrap align=right>8,452,883 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(246,063) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>U.S. Treasury Note 10 yr (Short) </TD>
     <TD noWrap align=right>601 </TD>
     <TD noWrap align=right>75,575,750 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Mar-09 </TD>
     <TD noWrap align=right>(3,696,187) </TD></TR>
<TR>
     <TD colSpan=6>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=6>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$(9,153,069)</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_21"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="51%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>WRITTEN OPTIONS OUTSTANDING at 12/31/08 (premiums received $6,619,088) (Unaudited)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Contract </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Expiration date/ </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>amount </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>strike price </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank for the obligation to </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>pay a fixed rate of 4.4% versus the three month USD-LIBOR-BB maturing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>November 9, 2019. </TD>
     <TD noWrap align=right>$50,458,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Nov-09/4.40 </TD>
     <TD noWrap align=right>$7,667,093 </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank for the obligation to </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>receive a fixed rate of 4.4% versus the three month USD-LIBOR-BBA maturing </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>November 9, 2019. </TD>
     <TD noWrap align=right>50,458,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Nov-09/4.40 </TD>
     <TD noWrap align=right>434,948 </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>May 14, 2022. </TD>
     <TD noWrap align=right>25,011,500 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>May-12/5.51 </TD>
     <TD noWrap align=right>5,152,369 </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>May 14, 2022. </TD>
     <TD noWrap align=right>25,011,500 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>May-12/5.51 </TD>
     <TD noWrap align=right>351,912 </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing on </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>September 12, 2018. </TD>
     <TD noWrap align=right>1,469,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Sep-13/4.82 </TD>
     <TD noWrap align=right>128,773 </TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing on </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>September 12, 2018. </TD>
     <TD noWrap align=right>1,469,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Sep-13/4.82 </TD>
     <TD noWrap align=right>18,744 </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$13,753,839</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_22"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="62%"></TD>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>TBA SALE COMMITMENTS OUTSTANDING at 12/31/08 (proceeds receivable $45,701,758) (Unaudited)</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Principal </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Settlement </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Agency </TD>
     <TD noWrap align=right>amount </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=right>Value </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FNMA, 5 1/2s, January 1, 2039 </TD>
     <TD noWrap align=right>$2,000,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/13/09 </TD>
     <TD noWrap align=right>$2,051,875 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FNMA, 5s, January 1, 2039 </TD>
     <TD noWrap align=right>40,000,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/13/09 </TD>
     <TD noWrap align=right>40,875,000 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>FNMA, 4 1/2s, January 1, 2039 </TD>
     <TD noWrap align=right>3,000,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/13/09 </TD>
     <TD noWrap align=right>3,044,063 </TD></TR>
<TR>
     <TD colSpan=5>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=5>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$45,970,938</B> </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_23"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD>
     <TD width="5%"></TD>
     <TD width="12%"></TD>
     <TD width="22%"></TD>
     <TD width="18%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4>Putnam Master Intermediate Income Trust</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=7><B>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Upfront </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Payments </TD>
     <TD noWrap align=left>Payments </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>Swap counterparty /</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>premium </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Termination </TD>
     <TD noWrap align=left>made by </TD>
     <TD noWrap align=left>received by </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>Notional amount</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>received (paid) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=left>fund per annum </TD>
     <TD noWrap align=left>fund per annum </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Bank of America, N.A.</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$32,178,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/23/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.155% </TD>
     <TD noWrap align=right>$819,570 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>23,500,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/18/13 </TD>
     <TD noWrap align=left>4.14688% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(2,332,988) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/29/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.75% </TD>
     <TD noWrap align=right>606,060 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>12,570,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>8/26/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.54375% </TD>
     <TD noWrap align=right>2,328,067 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>7,133,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/38 </TD>
     <TD noWrap align=left>4.36125% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(2,385,272) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/19/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.07% </TD>
     <TD noWrap align=right>285,664 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>5,076,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>15,845 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/1/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.30% </TD>
     <TD noWrap align=right>792,666 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,613,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>(57,362) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/8/38 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.30% </TD>
     <TD noWrap align=right>4,170,123 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,484,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,315 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/20/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.60% </TD>
     <TD noWrap align=right>619,140 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>28,409,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>25,825 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/20/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.00% </TD>
     <TD noWrap align=right>683,877 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>219,700,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>(78,193) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/26/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.35% </TD>
     <TD noWrap align=right>3,358,944 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>550,228,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/22/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>1.515% </TD>
     <TD noWrap align=right>102,232 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>11,889,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/8/28 </TD>
     <TD noWrap align=left>4.95% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(3,844,711) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Barclays Bank PLC</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>76,136,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/9/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.005% </TD>
     <TD noWrap align=right>695,038 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>28,963,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/9/20 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.91875% </TD>
     <TD noWrap align=right>677,367 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Citibank, N.A.</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>1,134,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/11/16 </TD>
     <TD noWrap align=left>1.8675% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(741,151) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$28,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/21/18 </TD>
     <TD noWrap align=left>4.80625% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(5,702,176) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MXN </TD>
     <TD noWrap align=right>33,510,000 </TD>
     <TD noWrap align=left>(F) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/18/13 </TD>
     <TD noWrap align=left>1 month MXN-TIIE-BANXICO </TD>
     <TD noWrap align=left>9.175% </TD>
     <TD noWrap align=right>108,291 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MXN </TD>
     <TD noWrap align=right>10,055,000 </TD>
     <TD noWrap align=left>(F) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/22/13 </TD>
     <TD noWrap align=left>1 month MXN-TIIE-BANXICO </TD>
     <TD noWrap align=left>9.21% </TD>
     <TD noWrap align=right>33,505 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>CAD </TD>
     <TD noWrap align=right>3,400,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>8/8/18 </TD>
     <TD noWrap align=left>4.119% </TD>
     <TD noWrap align=left>3 month CAD-BA-CDOR </TD>
     <TD noWrap align=right>(428,412) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>17,770,000 </TD>
     <TD noWrap align=left>(F) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>8/27/13 </TD>
     <TD noWrap align=left>9.86% </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=right>(138,506) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>8,885,000 </TD>
     <TD noWrap align=left>(F) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/2/13 </TD>
     <TD noWrap align=left>9.97% </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=right>(73,805) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AUD </TD>
     <TD noWrap align=right>3,800,000 </TD>
     <TD noWrap align=left>(E) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/11/18 </TD>
     <TD noWrap align=left>6.1% </TD>
     <TD noWrap align=left>6 month AUD-BBR-BBSW </TD>
     <TD noWrap align=right>(162,238) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$95,602,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/17/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.4975% </TD>
     <TD noWrap align=right>6,907,646 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>6,895,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/38 </TD>
     <TD noWrap align=left>4.45155% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(2,433,576) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>302,431,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.92486% </TD>
     <TD noWrap align=right>9,909,254 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Citibank, N.A., London</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>1,300,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/10/16 </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=left>1.755% </TD>
     <TD noWrap align=right>729,900 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Credit Suisse International</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$11,827,400 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/16/10 </TD>
     <TD noWrap align=left>3.143% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(437,533) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,042,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/38 </TD>
     <TD noWrap align=left>4.41338% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,394,970) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>124,287,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.91916% </TD>
     <TD noWrap align=right>4,075,814 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,961,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/23/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.32% </TD>
     <TD noWrap align=right>578,591 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>3,860,000 </TD>
     <TD noWrap align=left>(E) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/6/18 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-Reuters </TD>
     <TD noWrap align=left>4.9425% </TD>
     <TD noWrap align=right>122,312 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$18,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/5/20 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.01% </TD>
     <TD noWrap align=right>594,233 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>8,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/11/18 </TD>
     <TD noWrap align=left>2.9275% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(250,194) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>23,950,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/30/38 </TD>
     <TD noWrap align=left>2.71% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>262,163 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Deutsche Bank AG</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>9,268,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/23/38 </TD>
     <TD noWrap align=left>4.75% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(3,844,053) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>9,715,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/17/18 </TD>
     <TD noWrap align=left>4.585% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,707,209) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>125,936,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/24/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.604% </TD>
     <TD noWrap align=right>2,251,602 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/18/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.04% </TD>
     <TD noWrap align=right>525,929 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>97,260,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/25/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.95409% </TD>
     <TD noWrap align=right>3,790,870 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>12,120,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/6/11 </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=left>9.16% </TD>
     <TD noWrap align=right>22,791 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$70,018,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/28/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.8725% </TD>
     <TD noWrap align=right>2,450,144 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>79,355,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/5/13 </TD>
     <TD noWrap align=left>2.590625% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,679,951) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>28,551,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/9/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.5225% </TD>
     <TD noWrap align=right>508,355 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>54,334,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/11/18 </TD>
     <TD noWrap align=left>2.94% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,759,397) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>85,491,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/15/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.80776% </TD>
     <TD noWrap align=right>1,778,659 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>20,515,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/16/28 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.845% </TD>
     <TD noWrap align=right>73,680 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>332,987,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/19/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>1.53429% </TD>
     <TD noWrap align=right>416,826 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/22/13 </TD>
     <TD noWrap align=left>2.008% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>22,366 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>23,757,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/24/13 </TD>
     <TD noWrap align=left>2.165% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(46,923) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>49,838,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/30/13 </TD>
     <TD noWrap align=left>2.15633% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(70,190) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Goldman Sachs International</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>30,676,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/3/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.19% </TD>
     <TD noWrap align=right>4,256,210 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>120,229,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/8/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.64% </TD>
     <TD noWrap align=right>1,489,598 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,189,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/23/18 </TD>
     <TD noWrap align=left>4.43% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(2,061,148) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>17,383,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/19/18 </TD>
     <TD noWrap align=left>4.525% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(2,927,620) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>743,800,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/10/16 </TD>
     <TD noWrap align=left>1.953% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(530,105) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>18,220,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/13/13 </TD>
     <TD noWrap align=left>4.38% </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=right>(1,077,211) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>20,240,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/13/18 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>4.54% </TD>
     <TD noWrap align=right>1,625,673 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>4,860,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/13/38 </TD>
     <TD noWrap align=left>4.18% </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=right>(699,421) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$11,539,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>5,438 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/24/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.60% </TD>
     <TD noWrap align=right>211,396 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>10,120,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/27/18 </TD>
     <TD noWrap align=left>4.32% </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=right>(574,837) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>7,510,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/27/23 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>4.43% </TD>
     <TD noWrap align=right>545,602 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>23,940,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/31/10 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>3.715% </TD>
     <TD noWrap align=right>376,054 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$28,568,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>176,833 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/18/18 </TD>
     <TD noWrap align=left>4.10% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(3,688,375) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>73,190,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>(20,131) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/18/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.35% </TD>
     <TD noWrap align=right>1,150,054 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>113,015,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>411,793 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/18/13 </TD>
     <TD noWrap align=left>3.45% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(6,656,128) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>JPMorgan Chase Bank, N.A.</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,665,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/7/18 </TD>
     <TD noWrap align=left>4.45% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(799,424) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>17,121,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/12/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.4525% </TD>
     <TD noWrap align=right>2,940,028 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>15,289,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/11/38 </TD>
     <TD noWrap align=left>5.0025% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(7,042,927) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>35,403,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.145% </TD>
     <TD noWrap align=right>1,948,409 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>69,999,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/26/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.33375% </TD>
     <TD noWrap align=right>1,324,123 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>26,533,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/8/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.58406% </TD>
     <TD noWrap align=right>1,653,801 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>53,631,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/23/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.16% </TD>
     <TD noWrap align=right>1,369,469 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>18,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/13/13 </TD>
     <TD noWrap align=left>4.47% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,870,992) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/27/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.8305% </TD>
     <TD noWrap align=right>391,192 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>6,423,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/16/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.384% </TD>
     <TD noWrap align=right>226,772 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,400,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/17/18 </TD>
     <TD noWrap align=left>4.52% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(608,245) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>19,148,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/22/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.565% </TD>
     <TD noWrap align=right>772,443 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>MXN </TD>
     <TD noWrap align=right>33,510,000 </TD>
     <TD noWrap align=left>(F) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/19/13 </TD>
     <TD noWrap align=left>1 month MXN-TIIE-BANXICO </TD>
     <TD noWrap align=left>9.235% </TD>
     <TD noWrap align=right>113,908 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$49,717,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/28/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.5141% </TD>
     <TD noWrap align=right>2,022,296 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>AUD </TD>
     <TD noWrap align=right>19,160,000 </TD>
     <TD noWrap align=left>(E) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>8/6/18 </TD>
     <TD noWrap align=left>6 month AUD-BBR-BBSW </TD>
     <TD noWrap align=left>6.865% </TD>
     <TD noWrap align=right>1,232,947 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>11,390,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>8/27/13 </TD>
     <TD noWrap align=left>9.86% </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=right>(89,009) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>5,695,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/8/13 </TD>
     <TD noWrap align=left>9.95% </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=right>(47,902) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>ZAR </TD>
     <TD noWrap align=right>11,390,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/9/13 </TD>
     <TD noWrap align=left>9.94% </TD>
     <TD noWrap align=left>3 month ZAR-JIBAR-SAFEX </TD>
     <TD noWrap align=right>(95,497) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>8,737,320,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/15 </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=left>1.19% </TD>
     <TD noWrap align=right>1,069,918 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>32,620,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/18/38 </TD>
     <TD noWrap align=left>2.17% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(38,979) </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_24"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD width="3%"></TD>
     <TD width="8%"></TD>
     <TD align=right width="5%"></TD>
     <TD align=left width="12%"></TD>
     <TD width="22%"></TD>
     <TD width="18%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$17,560,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>9/23/38 </TD>
     <TD noWrap align=left>4.70763% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(7,130,428) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>14,110,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/17/13 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>4.51% </TD>
     <TD noWrap align=right>971,250 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$3,445,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/22/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.78% </TD>
     <TD noWrap align=right>69,360 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,297,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/22/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.2825% </TD>
     <TD noWrap align=right>344,328 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>17,025,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/23/13 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.535% </TD>
     <TD noWrap align=right>1,085,049 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>5,840,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/31/13 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>3.967% </TD>
     <TD noWrap align=right>209,741 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$7,879,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>23,761 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/4/18 </TD>
     <TD noWrap align=left>4.45% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(1,290,852) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>7,053,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>33,492 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/4/13 </TD>
     <TD noWrap align=left>3.85% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(533,218) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>34,218,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/10/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.83% </TD>
     <TD noWrap align=right>6,918,328 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/18/18 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.04% </TD>
     <TD noWrap align=right>262,965 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>71,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/24/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.0075% </TD>
     <TD noWrap align=right>668,857 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>6,447,000 </TD>
     <TD noWrap align=left>(E) </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/24/18 </TD>
     <TD noWrap align=left>3.735% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(179,678) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>22,020,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>12/11/13 </TD>
     <TD noWrap align=left>6 month EUR-EURIBOR-REUTERS </TD>
     <TD noWrap align=left>3.536% </TD>
     <TD noWrap align=right>340,685 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,060,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>12/19/18 </TD>
     <TD noWrap align=left>5% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(230,017) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>7,460,000,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>6/6/13 </TD>
     <TD noWrap align=left>1.83% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(3,431,741) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Merrill Lynch Capital Services, Inc.</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$54,651,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/26/12 </TD>
     <TD noWrap align=left>4.6165% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(5,445,222) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>18,938,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>5/19/10 </TD>
     <TD noWrap align=left>3.2925% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(516,575) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>23,910,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>7/22/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>3.5375% </TD>
     <TD noWrap align=right>951,360 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>743,800,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>6/10/16 </TD>
     <TD noWrap align=left>1.99625% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(529,376) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=4><B>Merrill Lynch Derivative Products AG</B></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>JPY </TD>
     <TD noWrap align=right>371,900,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>6/11/17 </TD>
     <TD noWrap align=left>2.05625% </TD>
     <TD noWrap align=left>6 month JPY-LIBOR-BBA </TD>
     <TD noWrap align=right>(295,425) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>UBS AG</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$367,450,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/29/10 </TD>
     <TD noWrap align=left>2.75% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(7,672,560) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>61,548,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>10/29/20 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.18142% </TD>
     <TD noWrap align=right>9,468,285 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>76,877,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,640,051 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/10/38 </TD>
     <TD noWrap align=left>4.45% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(23,829,896) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>97,757,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>(3,249,608) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/10/28 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>4.45% </TD>
     <TD noWrap align=right>21,413,071 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>185,016,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,700,082 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/10/18 </TD>
     <TD noWrap align=left>4.45% </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=right>(26,422,487) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>102,199,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>11/24/10 </TD>
     <TD noWrap align=left>3 month USD-LIBOR-BBA </TD>
     <TD noWrap align=left>2.05% </TD>
     <TD noWrap align=right>1,046,284 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$(16,977,415)</B> </TD></TR></TABLE><BR>
<P align=left><B><I>(E) See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.</I></B></P>
<P align=left><B><I>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or </I></B><B><I>Level 3 for FASB 157 disclosures based on securities valuation inputs.</I></B></P>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_25"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="15%"></TD>
     <TD align=center width="7%"></TD>
     <TD width="11%"></TD>
     <TD width="8%"></TD>
     <TD width="12%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3>Putnam Master Intermediate Income Trust</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=7><B>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right>Upfront </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Fixed payments </TD>
     <TD noWrap align=left>Total return </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>Swap counterparty /</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right>premium </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Termination </TD>
     <TD noWrap align=left>received (paid) by </TD>
     <TD noWrap align=left>received by </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>Notional amount</TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right>received (paid) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=left>fund per annum </TD>
     <TD noWrap align=left>or paid by fund </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>Goldman Sachs International</B></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=right>19,720,000 </TD>
     <TD noWrap align=center>&nbsp;(F)</TD>
     <TD noWrap align=right>$-- </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>3/26/09 </TD>
     <TD noWrap align=left>(2.27%) </TD>
     <TD noWrap align=left>Eurostat </TD>
     <TD noWrap align=right>$(162,852) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Eurozone HICP </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>excluding tobacco </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=right>9,600,000</TD>
     <TD noWrap align=center>(F)</TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/30/13 </TD>
     <TD noWrap align=left>2.375% </TD>
     <TD noWrap align=left>French Consumer </TD>
     <TD noWrap align=right>610,719 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Price Index </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>excluding tobacco </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=right>9,600,000 </TD>
     <TD noWrap align=center>(F)</TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>4/30/13 </TD>
     <TD noWrap align=left>(2.41%) </TD>
     <TD noWrap align=left>Eurostat </TD>
     <TD noWrap align=right>(643,316) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Eurozone HICP </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>excluding tobacco </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=right>9,600,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/6/13 </TD>
     <TD noWrap align=left>2.34% </TD>
     <TD noWrap align=left>French Consumer </TD>
     <TD noWrap align=right>523,563 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Price Index </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>excluding tobacco </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=right>9,600,000 </TD>
     <TD noWrap align=center>(F)</TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/6/13 </TD>
     <TD noWrap align=left>(2.385%) </TD>
     <TD noWrap align=left>Eurostat </TD>
     <TD noWrap align=right>(631,899) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Eurozone HICP </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>excluding tobacco </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$14,600,000 </TD>
     <TD noWrap align=center>(F)</TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/23/10 </TD>
     <TD noWrap align=left>(1.38%) </TD>
     <TD noWrap align=left>USA Non Revised </TD>
     <TD noWrap align=right>(600,262) </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Consumer Price </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Index- Urban </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>(CPI-U) </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2><B>JPMorgan Chase Bank, N.A.</B></TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>201,000,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=right>(202,915,781) </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/13/09 </TD>
     <TD noWrap align=left>(3.35%) 5.00% </TD>
     <TD noWrap align=left>FNMA 5.00% 30 YR </TD>
     <TD noWrap align=right>3,144,490 </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>TBA </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$2,240,443</B> </TD></TR></TABLE><BR>
<P align=left><B><I>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on securities valuation inputs.</I></B></P>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_26"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="6%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=2>Putnam Master Intermediate Income Trust</TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD colSpan=9></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=7><B>CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/08 (Unaudited)</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Upfront </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>Fixed payments </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>premium </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>Termi- </TD>
     <TD noWrap align=left>received </TD>
     <TD noWrap align=right>Unrealized </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Swap counterparty / </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>received </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>Notional </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>nation </TD>
     <TD noWrap align=left>(paid) by fund </TD>
     <TD noWrap align=right>appreciation/ </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Referenced debt* </TD>
     <TD noWrap align=left>Rating*** </TD>
     <TD noWrap align=right>(paid)** </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>amount </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>date </TD>
     <TD noWrap align=left>per annum </TD>
     <TD noWrap align=right>(depreciation) </TD></TR>
<TR>
     <TD noWrap align=left colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Bank of America, N.A.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Clear Channel </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Communications, 5 3/4%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>1/15/13 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>$-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$345,000 </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>9/20/09 </TD>
     <TD noWrap align=left>635 bp </TD>
     <TD noWrap align=right>$(62,792) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Financial Security </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Assurance Holdings, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ltd, 6.4%, 12/15/66 </TD>
     <TD noWrap align=left>Baa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>555,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/12 </TD>
     <TD noWrap align=left>95 bp </TD>
     <TD noWrap align=right>(198,693) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nalco Co., 7.75%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11/15/11 </TD>
     <TD noWrap align=left>B1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>80,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/12 </TD>
     <TD noWrap align=left>350 bp </TD>
     <TD noWrap align=right>(8,347) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Visteon Corp., 7%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3/10/14 </TD>
     <TD noWrap align=left>- </TD>
     <TD noWrap align=right>(127,500) </TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>480,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>(500 bp) </TD>
     <TD noWrap align=right>218,360 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Barclays Bank PLC</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Peru CD </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,462,116 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/7/09 </TD>
     <TD noWrap align=left>170 bp </TD>
     <TD noWrap align=right>37,974 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Citibank, N.A.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Advanced Micro Devices, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inc., 7 3/4%, 11/1/12 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,155,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>575 bp </TD>
     <TD noWrap align=right>(58,256) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE A Index </TD>
     <TD noWrap align=left>CCC </TD>
     <TD noWrap align=right>2,450,210 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,451,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>369 bp </TD>
     <TD noWrap align=right>(860,628) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>717,663 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,823,931 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(418,368) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Index </TD>
     <TD noWrap align=left>BB+ </TD>
     <TD noWrap align=right>600,474 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>2,070,600 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>76 bp </TD>
     <TD noWrap align=right>(662,330) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>611,503 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,358,839 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(683,441) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Series 6 Version 1 Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>171,737 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>890,335 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(92,445) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Series 6 Version 2 Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>686,668 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,122,772 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(538,145) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA EM Series 10 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>BB </TD>
     <TD noWrap align=right>29,229 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>485,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>335 bp </TD>
     <TD noWrap align=right>(43,069) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lear Corp., T/L Bank </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Loan </TD>
     <TD noWrap align=left>- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>265,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>(225 bp) </TD>
     <TD noWrap align=right>147,127 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lear Corp., T/L Bank </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Loan </TD>
     <TD noWrap align=left>BB- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>265,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>700 bp </TD>
     <TD noWrap align=right>(118,051) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lighthouse </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>International Co., SA, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8%, 4/30/14 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>495,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>815 bp </TD>
     <TD noWrap align=right>(105,745) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Argentina, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.28%, 12/31/33 </TD>
     <TD noWrap align=left>- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$330,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>(1,170 bp) </TD>
     <TD noWrap align=right>157,869 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Argentina, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.28%, 12/31/33 </TD>
     <TD noWrap align=left>- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>330,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>(945 bp) </TD>
     <TD noWrap align=right>171,073 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Venezuela, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 1/4%, 9/15/27 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>940 bp </TD>
     <TD noWrap align=right>(120,919) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sanmina-Sci Corp., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 1/8%, 3/1/16 </TD>
     <TD noWrap align=left>B3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>265,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>585 bp </TD>
     <TD noWrap align=right>(71,787) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sanmina-Sci Corp., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 1/8%, 3/1/16 </TD>
     <TD noWrap align=left>B3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>50,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>275 bp </TD>
     <TD noWrap align=right>(1,036) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sara Lee Corp., 6 1/8%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11/1/32 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/11 </TD>
     <TD noWrap align=left>(43 bp) </TD>
     <TD noWrap align=right>2,235 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wind Acquisition </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Finance SA, 9 3/4%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>12/1/15 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>240,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>(495 bp) </TD>
     <TD noWrap align=right>11,498 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left colSpan=3><B>Credit Suisse First Boston International</B></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Ukraine (Government </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>of), 7.65%, 6/11/13 </TD>
     <TD noWrap align=left>B1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>$1,105,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/20/11 </TD>
     <TD noWrap align=left>194 bp </TD>
     <TD noWrap align=right>(549,623) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Credit Suisse International</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Advanced Micro Devices, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inc., 7 3/4%, 11/1/12 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>210,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/09 </TD>
     <TD noWrap align=left>165 bp </TD>
     <TD noWrap align=right>(17,918) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Series 7 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Version 2 Index </TD>
     <TD noWrap align=left>BB+ </TD>
     <TD noWrap align=right>31,635 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>57,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>76 bp </TD>
     <TD noWrap align=right>(3,128) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Series 6 Version 2 Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>292,504 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,476,523 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(143,043) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 10 </TD>
     <TD noWrap align=left>B+ </TD>
     <TD noWrap align=right>203,700 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,940,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>500 bp </TD>
     <TD noWrap align=right>(100,766) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 10 </TD>
     <TD noWrap align=left>B+ </TD>
     <TD noWrap align=right>1,402,500 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>13,200,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>500 bp </TD>
     <TD noWrap align=right>(669,123) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>- </TD>
     <TD noWrap align=right>(101,955) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,315,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>(150 bp) </TD>
     <TD noWrap align=right>(33,812) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>154,461 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>928,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/13/49 </TD>
     <TD noWrap align=left>8 bp </TD>
     <TD noWrap align=right>(123,655) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>204,593 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,306,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(189,855) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>722,002 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>5,583,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(964,220) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>739,619 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>5,583,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(946,604) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>622,000 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>5,583,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(1,064,222) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>188,449 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,396,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(233,182) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>165,405 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,451,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(272,838) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(99,505) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,267,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>(35 bp) </TD>
     <TD noWrap align=right>283,164 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(47,211) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>633,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>(35 bp) </TD>
     <TD noWrap align=right>143,973 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(521,738) </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>3,728,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>(35 bp) </TD>
     <TD noWrap align=right>604,223 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Harrahs Operating Co. </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inc., 5 5/8%, 6/1/15 </TD>
     <TD noWrap align=left>Caa3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>165,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>600 bp </TD>
     <TD noWrap align=right>(10,445) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Peru, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 3/4%, 11/21/33 </TD>
     <TD noWrap align=left>Ba1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>610,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/20/17 </TD>
     <TD noWrap align=left>125 bp </TD>
     <TD noWrap align=right>(78,419) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Deutsche Bank AG</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE A Series 7 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Version 2 Index </TD>
     <TD noWrap align=left>CCC </TD>
     <TD noWrap align=right>1,361,360 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,496,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>369 bp </TD>
     <TD noWrap align=right>(73,880) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>126,909 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>1,631,645 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>7/25/45 </TD>
     <TD noWrap align=left>18 bp </TD>
     <TD noWrap align=right>(199,331) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>608,711 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>4,358,839 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(677,067) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Version 1 Index </TD>
     <TD noWrap align=left>B+ </TD>
     <TD noWrap align=right>5,108,900 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right>21,740,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>500 bp </TD>
     <TD noWrap align=right>763,702 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ iTraxx Europe Series </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 Version 1 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(57,074) </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>595,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/12 </TD>
     <TD noWrap align=left>(375 bp) </TD>
     <TD noWrap align=right>104,133 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ iTraxx Europe Series </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 Version 1 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>164,972 </TD>
     <TD noWrap align=left>EUR </TD>
     <TD noWrap align=right>2,415,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>(650 bp) </TD>
     <TD noWrap align=right>588,783 </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_27"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD align=center width="6%"></TD>
     <TD width="12%"></TD>
     <TD align=center width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Federal Republic of </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Brazil, 12 1/4%, 3/6/30 </TD>
     <TD noWrap align=left>Ba1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$775,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>10/20/17 </TD>
     <TD noWrap align=left>105 bp </TD>
     <TD noWrap align=right>(114,600) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>General Electric </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Capital Corp., 6%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6/15/12 </TD>
     <TD noWrap align=left>Aaa </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>109 bp </TD>
     <TD noWrap align=right>(31,442) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Grohe Holding GmBh, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 5/8%, 10/1/14 </TD>
     <TD noWrap align=left>B3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>140,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/09 </TD>
     <TD noWrap align=left>400 bp </TD>
     <TD noWrap align=right>(17,570) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Grohe Holding GmBh, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 5/8%, 10/1/14 </TD>
     <TD noWrap align=left>B3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>505,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/09 </TD>
     <TD noWrap align=left>400 bp </TD>
     <TD noWrap align=right>(63,377) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>India Government Bond, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5 7/8%, 1/2/10 </TD>
     <TD noWrap align=left>BBB- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$5,800,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>1/11/10 </TD>
     <TD noWrap align=left>170 bp </TD>
     <TD noWrap align=right>149,967 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>iStar Financial, Inc., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6%, 12/15/10 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>26,663 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>395,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>500 bp </TD>
     <TD noWrap align=right>(61,984) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Korea Monetary STAB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bond, 5%, 2/14/09 </TD>
     <TD noWrap align=left>A2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,365,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>2/23/09 </TD>
     <TD noWrap align=left>105 bp </TD>
     <TD noWrap align=right>(601) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Korea Monetary STAB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bond, 5.04%, 1/24/09 </TD>
     <TD noWrap align=left>A2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,105,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>2/2/09 </TD>
     <TD noWrap align=left>130 bp </TD>
     <TD noWrap align=right>1,781 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Korea Monetary STAB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bond, 5.15%, 2/12/10 </TD>
     <TD noWrap align=left>A2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,365,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>2/19/10 </TD>
     <TD noWrap align=left>115 bp </TD>
     <TD noWrap align=right>(29,256) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Korea Monetary STAB </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bond, 5.45%, 1/23/10 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>870,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>2/1/10 </TD>
     <TD noWrap align=left>101 bp </TD>
     <TD noWrap align=right>(18,806) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nalco Co., 7.75%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11/15/11 </TD>
     <TD noWrap align=left>B1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>70,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/12 </TD>
     <TD noWrap align=left>363 bp </TD>
     <TD noWrap align=right>(7,296) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Argentina, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.28%, 12/31/33 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>660,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>8/20/12 </TD>
     <TD noWrap align=left>(380 bp) </TD>
     <TD noWrap align=right>395,720 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Indonesia, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6.75%, 2014 </TD>
     <TD noWrap align=left>BB- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>575,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/16 </TD>
     <TD noWrap align=left>292 bp </TD>
     <TD noWrap align=right>(102,050) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Peru, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 3/4%, 11/21/33 </TD>
     <TD noWrap align=left>Ba1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>610,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>4/20/17 </TD>
     <TD noWrap align=left>126 bp </TD>
     <TD noWrap align=right>(77,863) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Turkey, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11 7/8%, 1/15/30 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>920,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/14 </TD>
     <TD noWrap align=left>195 bp </TD>
     <TD noWrap align=right>(89,284) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Venezuela, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 1/4%, 9/15/27 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>595,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/14 </TD>
     <TD noWrap align=left>220 bp </TD>
     <TD noWrap align=right>(345,849) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Venezuela, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 1/4%, 9/15/27 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>300,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>940 bp </TD>
     <TD noWrap align=right>(120,919) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Smurfit Kappa Funding, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>10 1/8%, 10/1/12 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>415,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/09 </TD>
     <TD noWrap align=left>135 bp </TD>
     <TD noWrap align=right>(19,861) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Smurfit Kappa Funding, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 3/4%, 4/1/15 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>425,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>715 bp </TD>
     <TD noWrap align=right>(103,800) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United Mexican States, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7.5%, 4/8/33 </TD>
     <TD noWrap align=left>Baa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$1,495,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/14 </TD>
     <TD noWrap align=left>56 bp </TD>
     <TD noWrap align=right>(162,191) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United Mexican States, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7.5%, 4/8/33 </TD>
     <TD noWrap align=left>Baa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>550,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>4/20/17 </TD>
     <TD noWrap align=left>66 bp </TD>
     <TD noWrap align=right>(88,116) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Virgin Media Finance </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PLC, 8 3/4%, 4/15/14 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>400,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>477 bp </TD>
     <TD noWrap align=right>(74,134) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Virgin Media Finance </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>PLC, 8 3/4%, 4/15/14 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>400,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>535 bp </TD>
     <TD noWrap align=right>(63,887) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><B>Goldman Sachs International</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Advanced Micro Devices, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inc., 7 3/4%, 11/1/12 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$375,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>515 bp </TD>
     <TD noWrap align=right>(10,684) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE A Index </TD>
     <TD noWrap align=left>CCC </TD>
     <TD noWrap align=right>501,237 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>748,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>369 bp </TD>
     <TD noWrap align=right>(216,383) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>111,232 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,430,089 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>7/25/45 </TD>
     <TD noWrap align=left>18 bp </TD>
     <TD noWrap align=right>(174,743) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE AAA Index </TD>
     <TD noWrap align=left>BB+ </TD>
     <TD noWrap align=right>175,796 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>748,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>1/25/38 </TD>
     <TD noWrap align=left>76 bp </TD>
     <TD noWrap align=right>(280,389) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>56,692 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,550,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/15/49 </TD>
     <TD noWrap align=left>7 bp </TD>
     <TD noWrap align=right>(255,137) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Version 1 Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(953,250) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>4,920,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>(500 bp) </TD>
     <TD noWrap align=right>30,116 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 9 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index 25-35% tranche </TD>
     <TD noWrap align=left>A+ </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>5,840,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/10 </TD>
     <TD noWrap align=left>429 bp </TD>
     <TD noWrap align=right>(373,458) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 9 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index 25-35% tranche </TD>
     <TD noWrap align=left>A+ </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>2,840,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/10 </TD>
     <TD noWrap align=left>108.65 bp </TD>
     <TD noWrap align=right>(357,073) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 9 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index 25-35% tranche </TD>
     <TD noWrap align=left>A+ </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>3,280,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/10 </TD>
     <TD noWrap align=left>305 bp </TD>
     <TD noWrap align=right>(290,994) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(525,106) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>25,000,000 </TD>
     <TD noWrap align=center>(F) </TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>(150 bp) </TD>
     <TD noWrap align=right>7,832 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(41,544) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>1,640,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/18 </TD>
     <TD noWrap align=left>(140 bp) </TD>
     <TD noWrap align=right>(31,686) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(724,630) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>14,370,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>(150 bp) </TD>
     <TD noWrap align=right>(433,902) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(671,313) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>14,370,000 </TD>
     <TD noWrap align=center>(F) </TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>(150 bp) </TD>
     <TD noWrap align=right>(364,981) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Lighthouse </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>International Co, SA, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8%, 4/30/14 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>420,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>680 bp </TD>
     <TD noWrap align=right>(111,941) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Smurfit Kappa Funding, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 3/4%, 4/1/15 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>390,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>720 bp </TD>
     <TD noWrap align=right>(94,488) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Wind Acquisition </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Finance SA, 9 3/4%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>12/1/15 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>420,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>597 bp </TD>
     <TD noWrap align=right>5,279 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><B>JPMorgan Chase Bank, N.A.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Claire's Stores, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 5/8%, 6/1/15 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$70,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>6/20/12 </TD>
     <TD noWrap align=left>230 bp </TD>
     <TD noWrap align=right>(37,088) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Codere Finance </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>(Luxembourg) S.A., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.25%, 6/15/15 </TD>
     <TD noWrap align=left>B+ </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>420,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>795 bp </TD>
     <TD noWrap align=right>(101,821) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX HE PEN AAA </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Series 6 Version 2 Index </TD>
     <TD noWrap align=left>AA+ </TD>
     <TD noWrap align=right>189,164 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$954,877 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>5/25/46 </TD>
     <TD noWrap align=left>11 bp </TD>
     <TD noWrap align=right>(92,507) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA EM Series 10 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>BB </TD>
     <TD noWrap align=right>28,017 </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>485,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/13 </TD>
     <TD noWrap align=left>335 bp </TD>
     <TD noWrap align=right>(44,282) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA HY Series 9 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index 25-35% tranche </TD>
     <TD noWrap align=left>A+ </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>2,911,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/10 </TD>
     <TD noWrap align=left>105.5 bp </TD>
     <TD noWrap align=right>(364,012) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(50,232) </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>645,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>(35 bp) </TD>
     <TD noWrap align=right>143,047 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ iTraxx Europe </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Crossover Series 8 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Version 1 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(224,479) </TD>
     <TD noWrap align=center>EUR </TD>
     <TD noWrap align=right>1,680,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/12 </TD>
     <TD noWrap align=left>(375 bp) </TD>
     <TD noWrap align=right>227,980 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Domtar Corp., 7 1/8%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8/15/15 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=right>$145,000 </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>12/20/11 </TD>
     <TD noWrap align=left>(500 bp) </TD>
     <TD noWrap align=right>9,328 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freeport-McMoRan Copper </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&amp; Gold, Inc., bank term </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>


<A name="page_28"></A>
<TABLE cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="19%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="6%"></TD>
     <TD width="12%"></TD>
     <TD width="8%"></TD>
     <TD width="14%"></TD>
     <TD width="10%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>loan </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,194,100 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/12 </TD>
     <TD noWrap align=left>(85 bp) </TD>
     <TD noWrap align=right>100,452 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>General Growth </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Properties, conv. bond </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>3.98%, 4/15/27 </TD>
     <TD noWrap align=left>CC- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,375,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>775 bp </TD>
     <TD noWrap align=right>(1,021,442) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>iStar Financial, Inc., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6%, 12/15/10 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>26,600 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>380,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/09 </TD>
     <TD noWrap align=left>500 bp </TD>
     <TD noWrap align=right>(58,680) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Jefferson Smurfit </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Corp., 7.5%, 6/1/13 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>125,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>685 bp </TD>
     <TD noWrap align=right>(78,766) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Argentina, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8.28%, 12/31/33 </TD>
     <TD noWrap align=left>B- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>705,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/14 </TD>
     <TD noWrap align=left>235 bp </TD>
     <TD noWrap align=right>(463,106) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Hungary, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>4 3/4%, 2/3/15 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>600,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>4/20/13 </TD>
     <TD noWrap align=left>(171.5 bp) </TD>
     <TD noWrap align=right>54,067 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Turkey, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11 7/8%, 1/15/30 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>990,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/20/17 </TD>
     <TD noWrap align=left>230 bp </TD>
     <TD noWrap align=right>(101,600) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Turkey, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11 7/8%, 1/15/30 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>730,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/20/17 </TD>
     <TD noWrap align=left>244 bp </TD>
     <TD noWrap align=right>(68,272) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Turkey, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11 7/8%, 1/15/30 </TD>
     <TD noWrap align=left>Ba3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>185,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/20/12 </TD>
     <TD noWrap align=left>154 bp </TD>
     <TD noWrap align=right>(15,628) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Russian Federation, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 1/2%, 3/31/30 </TD>
     <TD noWrap align=left>Baa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,605,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>5/20/17 </TD>
     <TD noWrap align=left>60 bp </TD>
     <TD noWrap align=right>(560,627) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Sanmina-Sci Corp., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 1/8%, 3/1/16 </TD>
     <TD noWrap align=left>B3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>215,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/13 </TD>
     <TD noWrap align=left>595 bp </TD>
     <TD noWrap align=right>(57,684) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>JPMorgan Securities, Inc.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>329,873 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>3,839,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(820,512) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Merrill Lynch Capital Services, Inc.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bombardier, Inc, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 3/4%, 5/1/12 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,080,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/12 </TD>
     <TD noWrap align=left>(150 bp) </TD>
     <TD noWrap align=right>112,691 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>D.R. Horton Inc., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7 7/8%, 8/15/11 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>735,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/11 </TD>
     <TD noWrap align=left>(426 bp) </TD>
     <TD noWrap align=right>29,802 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Pulte Homes Inc., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5.25%, 1/15/14 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>690,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/11 </TD>
     <TD noWrap align=left>(482 bp) </TD>
     <TD noWrap align=right>(23,225) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Merrill Lynch International</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Kinder Morgan, Inc., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 1/2%, 9/1/12 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,589,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/12 </TD>
     <TD noWrap align=left>(128 bp) </TD>
     <TD noWrap align=right>127,524 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Morgan Stanley Capital Services, Inc.</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Advanced Micro Devices, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Inc., 7 3/4%, 11/1/12 </TD>
     <TD noWrap align=left>Caa1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>500,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/09 </TD>
     <TD noWrap align=left>190 bp </TD>
     <TD noWrap align=right>(47,743) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bombardier, Inc, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>6 3/4%, 5/1/12 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>545,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/12 </TD>
     <TD noWrap align=left>(114 bp) </TD>
     <TD noWrap align=right>62,166 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Bundesrepublic of </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Deutschland, 6%, 6/20/16 </TD>
     <TD noWrap align=left>Aaa </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>2,571,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/18 </TD>
     <TD noWrap align=left>8 bp </TD>
     <TD noWrap align=right>(93,707) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>276,884 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>3,890,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/15/49 </TD>
     <TD noWrap align=left>7 bp </TD>
     <TD noWrap align=right>(508,186) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ ABX CMBX BBB Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>50 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>68,790 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/12/52 </TD>
     <TD noWrap align=left>(134 bp) </TD>
     <TD noWrap align=right>44,365 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CDX NA IG Series 11 </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Index </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>(295,714) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>11,550,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/20/18 </TD>
     <TD noWrap align=left>(140 bp) </TD>
     <TD noWrap align=right>(226,286) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>167,702 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,398,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>12/13/49 </TD>
     <TD noWrap align=left>8 bp </TD>
     <TD noWrap align=right>(248,965) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>DJ CMB NA CMBX AAA Index </TD>
     <TD noWrap align=left>AAA </TD>
     <TD noWrap align=right>3,570,929 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>32,905,500 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>2/17/51 </TD>
     <TD noWrap align=left>35 bp </TD>
     <TD noWrap align=right>(6,327,132) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Dominican Republic, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>8 5/8%, 4/20/27 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,190,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>11/20/11 </TD>
     <TD noWrap align=left>(170 bp) </TD>
     <TD noWrap align=right>353,641 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Freeport-McMoRan Copper </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&amp; Gold, Inc., T/L Bank </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Loan </TD>
     <TD noWrap align=left>Baa3 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>1,191,200 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/12 </TD>
     <TD noWrap align=left>44 bp </TD>
     <TD noWrap align=right>(113,733) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nalco Co., 7.75%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11/15/11 </TD>
     <TD noWrap align=left>B1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>80,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/12 </TD>
     <TD noWrap align=left>330 bp </TD>
     <TD noWrap align=right>(8,842) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Nalco Co., 7.75%, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>11/15/11 </TD>
     <TD noWrap align=left>B1 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>115,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>3/20/13 </TD>
     <TD noWrap align=left>460 bp </TD>
     <TD noWrap align=right>(9,910) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Austria, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>5 1/4%, 1/4/11 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>2,571,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>6/20/18 </TD>
     <TD noWrap align=left>(17 bp) </TD>
     <TD noWrap align=right>255,102 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Republic of Venezuela, </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>9 1/4%, 9/15/27 </TD>
     <TD noWrap align=left>B2 </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>510,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>10/12/12 </TD>
     <TD noWrap align=left>339 bp </TD>
     <TD noWrap align=right>(256,727) </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>UBS, AG</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Meritage Homes Corp., </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>7%, 5/1/14 </TD>
     <TD noWrap align=left>-- </TD>
     <TD noWrap align=right>-- </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>135,000 </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>9/20/13 </TD>
     <TD noWrap align=left>(760 bp) </TD>
     <TD noWrap align=right>13,434 </TD></TR>
<TR>
     <TD colSpan=9>
<HR noShade SIZE=1>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>$(21,376,003)</B> </TD></TR></TABLE><BR>
<P align=left><B><I>* Payments related to the reference debt are made upon a credit default event.</I></B></P>
<P align=left><B><I>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of </I></B><B><I>execution.</I></B><BR>
<BR>
<B><I>*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying </I></B><B><I>referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included </I></B><B><I>in that index. The Moody's or Standard &amp; Poor's ratings are believed to be the most recent ratings available at </I></B><B><I>December 31, 2008.</I></B><BR>
<BR>
<B><I>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or </I></B><B><I>Level 3 for FASB 157 disclosures based on securities valuation inputs.</I></B></P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_29"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Key to holding's currency abbreviations </TD>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>ARS</B> </TD>
     <TD noWrap align=left>Argentine Peso </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>AUD</B> </TD>
     <TD noWrap align=left>Australian Dollar </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>BRL</B> </TD>
     <TD noWrap align=left>Brazilian Real </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>CAD</B> </TD>
     <TD noWrap align=left>Canadian Dollar </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>EUR</B> </TD>
     <TD noWrap align=left>Euro </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>GBP</B> </TD>
     <TD noWrap align=left>British Pound </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>INR</B> </TD>
     <TD noWrap align=left>Indian Rupee </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>JPY</B> </TD>
     <TD noWrap align=left>Japanese Yen </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>MXN</B> </TD>
     <TD noWrap align=left>Mexican Peso </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>RUB</B> </TD>
     <TD noWrap align=left>Russian Ruble </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>ZAR</B> </TD>
     <TD noWrap align=left>South African Rand </TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR></TABLE><BR>
<P align=left>NOTES</P>
<P align=left>(a) Percentages indicated are based on net assets of $272,327,865.</P>
<P align=left>(b) The aggregate identified cost on a tax basis is $476,579,755, resulting in gross unrealized appreciation and depreciation of $25,680,753 and $112,424,976, respectively, or net unrealized depreciation of $86,744,223.</P>
<P align=left>(NON) Non-income-producing security.</P>
<P align=left>(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</P>
<P align=left>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</P>
<P align=left>(SEG) This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at December 31, 2008.</P>
<P align=left>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at December 31, 2008. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. When the fund invests in a loan or particip
ation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</P>
<P align=left>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs.</P>
<P align=left>(R) Real Estate Investment Trust.</P>
<P align=left>(U) These securities, in part or in entirety, represent unfunded loan commitments. As of December 31, 2008, the fund had unfunded loan commitments of $58,968, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:</P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="44%"></TD>
     <TD width="10%"></TD>
     <TD width="44%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Borrower</B> </TD>
     <TD noWrap align=right><B>Unfunded commitments</B> </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Community Health Systems, Inc. Ser. DD </TD>
     <TD noWrap align=right>$20,180 </TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Golden Nugget, Inc. Ser. DD </TD>
     <TD noWrap align=right>38,788 </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD>&nbsp; </TD>
     <TD>&nbsp;</TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Totals</B> </TD>
     <TD noWrap align=right>$58,968 </TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD></TR></TABLE><BR>
<P align=left>At December 31, 2008, liquid assets totaling $194,277,170 have been designated as collateral for open forward commitments, swap contracts, forward contracts and futures contracts.</P>
<P align=left>Debt obligations are considered secured unless otherwise indicated.</P>
<P align=left>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</P>
<P align=left>TBA after the name of a security represents to be announced securities.</P>
<P align=left>The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at December 31, 2008.</P>
<P align=left>The dates shown on debt obligations are the original maturity dates.</P>
<P align=left>Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at December 31, 2008.</P>
<P align=left>DIVERSIFICATION BY COUNTRY</P>
<P align=left>Distribution of investments by country of issue at December 31, 2008 (as a percentage of Portfolio Value):</P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United States </TD>
     <TD noWrap align=right>87.9% </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Japan </TD>
     <TD noWrap align=right>3.4 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Luxembourg </TD>
     <TD noWrap align=right>1.4 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>United Kingdom </TD>
     <TD noWrap align=right>1.1 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Colombia </TD>
     <TD noWrap align=right>1.0 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Argentina </TD>
     <TD noWrap align=right>0.9 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Canada </TD>
     <TD noWrap align=right>0.9 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Cayman Islands </TD>
     <TD noWrap align=right>0.6 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Venezuela </TD>
     <TD noWrap align=right>0.5 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Other </TD>
     <TD noWrap align=right>2.3 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=right><B>100.0%</B> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR></TABLE><BR>
<P align=left><B>Security valuation </B>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (&#147;Putnam Management&#148;), the fund&#146;s manager, a wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between s
ecurities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange.</P>
<P align=left>Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.</P>
<P align=left>Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation which Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.</P>
<P align=left>Certain securities may be valued on the basis of a price provided by a single source.</P>
<P align=left>The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.</P>
<P align=left><B>Stripped securities </B>The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.</P>
<P align=left><B>Forward currency contracts </B>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service.</P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_30"></A>
<P align=left>The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</P>
<P align=left>The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.</P>
<P align=left><B>Futures and options contracts </B>The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.</P>
<P align=left>The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.</P>
<P align=left>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148; Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers.</P>
<P align=left><B>Total return swap contracts </B>The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlyi
ng security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform.</P>
<P align=left><B>Interest rate swap contracts </B>The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund&#146;s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuat
ion of interest rates or if the counterparty defaults on its obligation to perform.</P>
<P align=left><B>Credit default contracts </B>The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market 
makers and the change, if any, is recorded as unrealized gain or loss.</P>
<P align=left>Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform.</P>
<P align=left><B>TBA purchase commitments </B>The fund may enter into &#147;TBA&#148; (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund&#146;s other assets. Unsettled TBA purchase commitments are valued 
at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.</P>
<P align=left>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</P>
<P align=left><B>TBA sale commitments </B>The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#147;cover&#148; for the transaction.</P>
<P align=left>Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.</P>
<P align=left><B>Dollar rolls </B>To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.<BR>
<BR>
<B>Other items </B>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. As of December 31, 2008, due to a decrease in the fund's net asset value during the year, such counterparties were entitled to elect, but had not yet elected, to terminate early, and cause settlement of all derivative and foreign exchange contracts outstanding under the applicable Master Agreements, including the payment by the fund of any losses and costs resulting from such early termination, as reasonably determined by such counterparty. Any decision by the counterparty to elect early termination could impact the fund's future derivative activity. At December 31, 2008, the fund had net unrealized gains/(losses) on derivative contracts subject to the Master Agreements of $16,963,188 and $(53,114,541), respectively. The fund intends to seek a waiver of, or other relief from
 this provision, from the counterparties.</P>
<P align=left>In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund&#146;s net asset value, it does require additional disclosures about fair value measurements. The Standard establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund&#146;s investments. The three levels are defined as follows:</P>
<P align=left>Level 1 &#150; Valuations based on quoted prices for identical securities in active markets.</P>
<P align=left>Level 2 &#150; Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</P>
<P align=left>Level 3 &#150; Valuations based on inputs that are unobservable and significant to the fair value measurement.</P>
<P align=left>The following is a summary of the inputs used to value the fund&#146;s net assets as of December 31, 2008:</P>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="20%"></TD>
     <TD width="7%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Valuation inputs</B> </TD>
     <TD noWrap align=right><B>Investments in securities</B> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B>Other financial instruments*</B> </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Level 1 </TD>
     <TD noWrap align=right>$45,066,104 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>$(9,153,069) </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Level 2 </TD>
     <TD noWrap align=right>342,014,726 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>(43,555,284) </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Level 3 </TD>
     <TD noWrap align=right>2,754,702 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>-- </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Total</B> </TD>
     <TD noWrap align=right>$389,835,532 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right>$(52,708,353) </TD></TR>
<TR>
     <TD colSpan=4>
<HR noShade SIZE=1>
</TD></TR></TABLE><BR>
<P align=left>* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.</P>
<P align=left>The following is a reconciliation of Level 3 assets as of December 31, 2008:</P>
<HR align=center width="100%" noShade SIZE=2>

<!--$$/page=-->
<A name="page_31"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="20%"></TD>
     <TD width="7%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=right><B>Investment in securities</B> </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Balance as of September 30, 2008</B> </TD>
     <TD noWrap align=right>$5,231,184 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Accrued discounts/premiums</B> </TD>
     <TD noWrap align=right>(2,646) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Realized Gain / Loss </TD>
     <TD noWrap align=right>(582,998) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>Change in net unrealized appreciation (depreciation) </TD>
     <TD noWrap align=right>143,323 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Net Purchases / Sales</B> </TD>
     <TD noWrap align=right>(93,409) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Net Transfers in and/or out of Level 3</B> </TD>
     <TD noWrap align=right>(1,940,752) </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B>Balance as of December 31, 2008</B> </TD>
     <TD noWrap align=right>$2,754,702 </TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=2>
<HR noShade SIZE=1>
</TD>
     <TD></TD>
     <TD></TD></TR></TABLE><BR>
<P align=left>* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/ (depreciation) on the instrument.</P>
<P align=left>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</P>
<HR align=center width="100%" noShade SIZE=2>











































<!--$$/page=-->
<A name="page_1"></A>
<P align=left><U><FONT face=sans-serif size=2>Item </FONT></U><FONT face=sans-serif size=2><U>2. Controls and Procedures:</U></FONT></P>
<P align=left><FONT face=sans-serif size=2>(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Item </FONT></U><FONT face=sans-serif size=2><U>3. Exhibits:</U></FONT></P>
<P align=left><FONT face=sans-serif size=2>Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>SIGNATURES</FONT></U></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>Putnam </FONT></U><FONT face=sans-serif size=2><U>Master Intermediate Income Trust</U></FONT></P>
<P align=left><FONT face=sans-serif size=2>By (Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>/s/ </FONT></U><FONT face=sans-serif size=2><U>Janet C. Smith</U></FONT><BR>
<FONT face=sans-serif size=2>Janet C. Smith</FONT><BR>
<FONT face=sans-serif size=2>Principal Accounting Officer</FONT><BR>
<FONT face=sans-serif size=2>Date: February 27, 2009</FONT></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P align=left><FONT face=sans-serif size=2>By (Signature and Title):</FONT></P>
<P align=left><U><FONT face=sans-serif size=2>/s/ </FONT></U><FONT face=sans-serif size=2><U>Charles E. Porter</U></FONT><BR>
<FONT face=sans-serif size=2>Charles E. Porter</FONT><BR>
<FONT face=sans-serif size=2>Principal Executive Officer</FONT><BR>
<FONT face=sans-serif size=2>Date: February 27, 2009</FONT><BR>
<BR>
<FONT face=sans-serif size=2>By (Signature and Title):</FONT><BR>
<BR>
<U><FONT face=sans-serif size=2>/s/ </FONT></U><FONT face=sans-serif size=2><U>Steven D. Krichmar</U></FONT><BR>
<FONT face=sans-serif size=2>Steven D. Krichmar</FONT><BR>
<FONT face=sans-serif size=2>Principal Financial Officer</FONT><BR>
<FONT face=sans-serif size=2>Date: February 27, 2009</FONT></P>
<HR align=center width="100%" noShade SIZE=2>




























</BODY>
</HTML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>b_msimcert.htm
<DESCRIPTION>EX-99.CERT
<TEXT>

<HTML>
<HEAD>
   <TITLE>b_msimcert.htm</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">


<!--$$/page=-->
<A name="page_1"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Charles E. Porter, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">_____________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: February 27, 2009</FONT><BR>
<FONT size=2 face="sans-serif">Charles E. Porter</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>

<HR noshade align="center"width="100%"size=2>



<!--$$/page=-->
<A name="page_2"></A>

<P align="left">
<U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P align="left">
<FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is
filed;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent
functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record,
process, summarize, and report financial information; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: February 27, 2009</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>

<HR noshade align="center"width="100%"size=2>



<A name="page_3"></A>
<TABLE cellSpacing=0 cellPadding=0 width="80%" border=0>
<TR>
     <TD width="5%"></TD>
     <TD width="40%"></TD>
     <TD width="54%"></TD></TR>
<TR>
     <TD></TD>
     <TD colSpan=2></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>Attachment A</FONT>&nbsp; </TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>NQ</FONT>&nbsp; </TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=center><FONT face=sans-serif>Period (s) ended December 31, 2008</FONT>&nbsp; </TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>074</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Master Intermediate Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>027</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam California Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>033</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam American Government Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>011</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Tax Exempt Income Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>539</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam International New Opportunities Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>032</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam U.S. Government Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>010</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>062</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Tax Exempt Money Market Fund</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>075</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Diversified Income Trust</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>259</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Asset Allocation: Conservative Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>250</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Asset Allocation: Growth Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT face=sans-serif>264</FONT>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Asset Allocation: Balanced Portfolio</FONT>&nbsp; </TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp; </TD>
     <TD noWrap align=left colSpan=2><FONT face=sans-serif>Putnam Money Market Liquidity Fund</FONT>&nbsp; </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>

</BODY>

</HTML>

</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
